Value-at-RiskVaR
2.47
↓
0.054%
from yesterday
Expected ShortfallES
3.11
↓
0.064%
from yesterday
25% Drop Probability25% Drop
5.3%
↓
0.117%
from yesterday
Years Until 25% Drop25% Freq.
19years
↑
0.412%
from yesterday
Model RiskModel Risk
1.31
↓
0.015%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.77 | 2.11 | 2.77 | 2.23 | 2.35 | 2.61 | 2.47 | 1.31 |
| ES | 3.66 | 2.42 | 3.17 | 2.55 | 2.94 | 3.91 | 3.11 | 1.62 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
