Value-at-RiskVaR
2.24
↑
0.018%
from yesterday
Expected ShortfallES
2.91
↑
0.022%
from yesterday
25% Drop Probability25% Drop
5.5%
↑
0.044%
from yesterday
Years Until 25% Drop25% Freq.
18.3years
↓
0.149%
from yesterday
Model RiskModel Risk
1.48
↓
0.063%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.77 | 2.09 | 2.18 | 1.87 | 2 | 2.54 | 2.24 | 1.48 |
| ES | 3.66 | 2.39 | 2.5 | 2.14 | 2.51 | 4.26 | 2.91 | 1.99 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
