Value-at-RiskVaR
3.55¥
↓
0.056%
from yesterday
Expected ShortfallES
4.67¥
↓
0.07%
from yesterday
25% Drop Probability25% Drop
7.9%
↓
0.144%
from yesterday
Years Until 25% Drop25% Freq.
12.6years
↑
0.224%
from yesterday
Model RiskModel Risk
1.29
↓
0.107%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.16 | 3.23 | 3.5 | 3.89 | 4.08 | 3.43 | 3.55 | 1.29 |
| ES | 5.45 | 3.7 | 4.01 | 4.45 | 5.12 | 5.27 | 4.67 | 1.48 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
