Value-at-RiskVaR
2.65
↓
0.037%
from yesterday
Expected ShortfallES
3.33
↓
0.047%
from yesterday
25% Drop Probability25% Drop
5.8%
↓
0.098%
from yesterday
Years Until 25% Drop25% Freq.
17.3years
↑
0.289%
from yesterday
Model RiskModel Risk
1.39
↓
0.024%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.77 | 2.12 | 2.95 | 2.6 | 2.81 | 2.64 | 2.65 | 1.39 |
| ES | 3.66 | 2.43 | 3.38 | 2.98 | 3.51 | 4.03 | 3.33 | 1.66 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
