Value-at-RiskVaR
3.67¥
↓
0.243%
from yesterday
Expected ShortfallES
4.82¥
↓
0.291%
from yesterday
25% Drop Probability25% Drop
8.3%
↓
0.537%
from yesterday
Years Until 25% Drop25% Freq.
12years
↑
0.727%
from yesterday
Model RiskModel Risk
1.29
↓
0.2%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.27 | 3.24 | 4.07 | 3.82 | 4.19 | 3.45 | 3.67 | 1.29 |
| ES | 5.51 | 3.71 | 4.67 | 4.37 | 5.29 | 5.38 | 4.82 | 1.48 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
