Value-at-RiskVaR
2.24
↓
0.032%
from yesterday
Expected ShortfallES
2.76
↓
0.038%
from yesterday
25% Drop Probability25% Drop
4.4%
↓
0.065%
from yesterday
Years Until 25% Drop25% Freq.
22.5years
↑
0.325%
from yesterday
Model RiskModel Risk
1.57
↑
0.063%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.81 | 2.05 | 2.06 | 1.79 | 2.05 | 2.69 | 2.24 | 1.57 |
| ES | 3.46 | 2.35 | 2.36 | 2.05 | 2.62 | 3.7 | 2.76 | 1.81 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
