Value-at-RiskVaR
4.02¥
↑
0.157%
from yesterday
Expected ShortfallES
5.27¥
↑
0.188%
from yesterday
25% Drop Probability25% Drop
9.4%
↑
0.348%
from yesterday
Years Until 25% Drop25% Freq.
10.6years
↓
0.406%
from yesterday
Model RiskModel Risk
1.41
↑
0.102%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.54 | 3.34 | 4.46 | 4.46 | 4.69 | 3.64 | 4.02 | 1.41 |
| ES | 5.73 | 3.83 | 5.11 | 5.11 | 6.06 | 5.79 | 5.27 | 1.58 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
