Value-at-RiskVaR
3.71¥
↓
0.04%
from yesterday
Expected ShortfallES
4.89¥
↓
0.05%
from yesterday
25% Drop Probability25% Drop
8.7%
↓
0.109%
from yesterday
Years Until 25% Drop25% Freq.
11.5years
↑
0.142%
from yesterday
Model RiskModel Risk
1.27
↑
0.028%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.54 | 3.34 | 4.25 | 3.58 | 3.89 | 3.64 | 3.71 | 1.27 |
| ES | 5.73 | 3.83 | 4.87 | 4.1 | 5.03 | 5.79 | 4.89 | 1.51 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
