Value-at-RiskVaR
2.34
↓
0.036%
from yesterday
Expected ShortfallES
2.84
↓
0.043%
from yesterday
25% Drop Probability25% Drop
4.6%
↓
0.076%
from yesterday
Years Until 25% Drop25% Freq.
21.9years
↑
0.358%
from yesterday
Model RiskModel Risk
1.64
↑
0.073%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.97 | 2.08 | 2.24 | 1.82 | 2.14 | 2.77 | 2.34 | 1.64 |
| ES | 3.5 | 2.38 | 2.57 | 2.08 | 2.75 | 3.77 | 2.84 | 1.81 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
