Value-at-RiskVaR
2.97¥
↓
0.017%
from yesterday
Expected ShortfallES
3.98¥
↓
0.02%
from yesterday
25% Drop Probability25% Drop
6.7%
↓
0.036%
from yesterday
Years Until 25% Drop25% Freq.
14.9years
↑
0.08%
from yesterday
Model RiskModel Risk
1.42
↓
0.006%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.16 | 3.21 | 2.89 | 2.42 | 2.7 | 3.43 | 2.97 | 1.42 |
| ES | 5.45 | 3.68 | 3.31 | 2.77 | 3.38 | 5.27 | 3.98 | 1.97 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
