Value-at-RiskVaR
2.91
↑
0.11%
from yesterday
Expected ShortfallES
3.53
↑
0.119%
from yesterday
25% Drop Probability25% Drop
5.9%
↑
0.145%
from yesterday
Years Until 25% Drop25% Freq.
17years
↓
0.431%
from yesterday
Model RiskModel Risk
1.58
↑
0.065%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.98 | 2.11 | 2.93 | 3.33 | 3.31 | 2.79 | 2.91 | 1.58 |
| ES | 3.51 | 2.41 | 3.36 | 3.82 | 4.22 | 3.86 | 3.53 | 1.75 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
