Value-at-RiskVaR
3.51
↓
0.128%
from yesterday
Expected ShortfallES
4.41
↓
0.158%
from yesterday
25% Drop Probability25% Drop
7.1%
↓
0.322%
from yesterday
Years Until 25% Drop25% Freq.
14years
↑
0.605%
from yesterday
Model RiskModel Risk
1.35
↓
0.039%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.64 | 3.05 | 4.12 | 3.14 | 3.37 | 3.74 | 3.51 | 1.35 |
| ES | 5.12 | 3.5 | 4.72 | 3.6 | 4.5 | 5 | 4.41 | 1.46 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
