Value-at-RiskVaR
2.11฿
↓
0.036%
from yesterday
Expected ShortfallES
2.54฿
↓
0.042%
from yesterday
25% Drop Probability25% Drop
3.8%
↓
0.077%
from yesterday
Years Until 25% Drop25% Freq.
26.2years
↑
0.52%
from yesterday
Model RiskModel Risk
1.18
↑
0.001%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.22 | 1.93 | 2.12 | 1.96 | 2.15 | 2.29 | 2.11 | 1.18 |
| ES | 2.84 | 2.22 | 2.43 | 2.25 | 2.7 | 2.84 | 2.54 | 1.28 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
