Value-at-RiskVaR
2.48฿
↓
0.006%
from yesterday
Expected ShortfallES
2.98฿
↓
0.008%
from yesterday
25% Drop Probability25% Drop
4.6%
↓
0.019%
from yesterday
Years Until 25% Drop25% Freq.
21.9years
↑
0.091%
from yesterday
Model RiskModel Risk
1.47
↓
0.038%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.2 | 1.98 | 2.83 | 2.73 | 2.9 | 2.28 | 2.48 | 1.47 |
| ES | 2.82 | 2.26 | 3.24 | 3.13 | 3.62 | 2.81 | 2.98 | 1.6 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
