Value-at-RiskVaR
2.61
↓
0.018%
from yesterday
Expected ShortfallES
3.18
↓
0.022%
from yesterday
25% Drop Probability25% Drop
5.3%
↓
0.045%
from yesterday
Years Until 25% Drop25% Freq.
19years
↑
0.161%
from yesterday
Model RiskModel Risk
1.42
↓
0.001%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.99 | 2.11 | 2.51 | 2.64 | 2.65 | 2.8 | 2.61 | 1.42 |
| ES | 3.51 | 2.41 | 2.88 | 3.02 | 3.39 | 3.89 | 3.18 | 1.61 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
