Value-at-RiskVaR
3.59
↓
0.148%
from yesterday
Expected ShortfallES
4.48
↓
0.179%
from yesterday
25% Drop Probability25% Drop
7.1%
↓
0.348%
from yesterday
Years Until 25% Drop25% Freq.
14years
↑
0.651%
from yesterday
Model RiskModel Risk
1.65
↓
0.079%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.64 | 3.05 | 4.93 | 2.99 | 3.16 | 3.76 | 3.59 | 1.65 |
| ES | 5.12 | 3.49 | 5.64 | 3.43 | 4.24 | 4.94 | 4.48 | 1.65 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
