Value-at-RiskVaR
3.92¥
↓
0.091%
from yesterday
Expected ShortfallES
5.11¥
↓
0.113%
from yesterday
25% Drop Probability25% Drop
8.9%
↓
0.228%
from yesterday
Years Until 25% Drop25% Freq.
11.3years
↑
0.283%
from yesterday
Model RiskModel Risk
1.49
↓
0.136%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.27 | 3.24 | 4.05 | 4.65 | 4.84 | 3.45 | 3.92 | 1.49 |
| ES | 5.51 | 3.71 | 4.64 | 5.33 | 6.11 | 5.38 | 5.11 | 1.65 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
