Value-at-RiskVaR
4.16¥
↑
0.039%
from yesterday
Expected ShortfallES
5.41¥
↑
0.048%
from yesterday
25% Drop Probability25% Drop
9.6%
↑
0.095%
from yesterday
Years Until 25% Drop25% Freq.
10.4years
↓
0.104%
from yesterday
Model RiskModel Risk
1.66
↓
0.046%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.54 | 3.32 | 5.5 | 4.32 | 4.63 | 3.64 | 4.16 | 1.66 |
| ES | 5.73 | 3.8 | 6.3 | 4.94 | 5.91 | 5.79 | 5.41 | 1.66 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
