Value-at-RiskVaR
2.14
↓
0.031%
from yesterday
Expected ShortfallES
2.78
↓
0.037%
from yesterday
25% Drop Probability25% Drop
5%
↓
0.071%
from yesterday
Years Until 25% Drop25% Freq.
19.8years
↑
0.275%
from yesterday
Model RiskModel Risk
1.44
↑
0.032%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.64 | 2.07 | 1.92 | 1.84 | 1.95 | 2.46 | 2.14 | 1.44 |
| ES | 3.58 | 2.37 | 2.19 | 2.11 | 2.41 | 4.02 | 2.78 | 1.91 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
