Value-at-RiskVaR
2.55
↓
0.045%
from yesterday
Expected ShortfallES
3.1
↓
0.053%
from yesterday
25% Drop Probability25% Drop
5%
↓
0.091%
from yesterday
Years Until 25% Drop25% Freq.
19.9years
↑
0.353%
from yesterday
Model RiskModel Risk
1.42
Max/min VaR ratio
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.97 | 2.09 | 2.68 | 2.18 | 2.63 | 2.77 | 2.55 | 1.42 |
| ES | 3.5 | 2.4 | 3.06 | 2.49 | 3.36 | 3.77 | 3.1 | 1.57 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
