Value-at-RiskVaR
3.4¥
↓
0.078%
from yesterday
Expected ShortfallES
4.51¥
↓
0.094%
from yesterday
25% Drop Probability25% Drop
7.9%
↓
0.174%
from yesterday
Years Until 25% Drop25% Freq.
12.6years
↑
0.271%
from yesterday
Model RiskModel Risk
1.66
↑
0.088%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.54 | 3.31 | 4.37 | 2.62 | 2.94 | 3.64 | 3.4 | 1.66 |
| ES | 5.73 | 3.79 | 5 | 3.01 | 3.75 | 5.79 | 4.51 | 1.93 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
