Value-at-RiskVaR
2.31
↓
0.043%
from yesterday
Expected ShortfallES
2.97
↓
0.051%
from yesterday
25% Drop Probability25% Drop
5.3%
↓
0.094%
from yesterday
Years Until 25% Drop25% Freq.
18.8years
↑
0.327%
from yesterday
Model RiskModel Risk
1.27
↑
0.004%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.64 | 2.08 | 2.39 | 2.08 | 2.22 | 2.48 | 2.32 | 1.27 |
| ES | 3.58 | 2.38 | 2.74 | 2.38 | 2.76 | 3.99 | 2.97 | 1.68 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
