Value-at-RiskVaR
2.69฿
↓
0.023%
from yesterday
Expected ShortfallES
3.33฿
↓
0.028%
from yesterday
25% Drop Probability25% Drop
5.3%
↓
0.051%
from yesterday
Years Until 25% Drop25% Freq.
18.7years
↑
0.177%
from yesterday
Model RiskModel Risk
1.69
↓
0.048%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.39 | 2.1 | 3.54 | 2.67 | 2.96 | 2.47 | 2.69 | 1.69 |
| ES | 3.39 | 2.4 | 4.05 | 3.06 | 3.71 | 3.36 | 3.33 | 1.69 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
