Value-at-RiskVaR
3.34฿
↓
0.055%
from yesterday
Expected ShortfallES
4.12฿
↓
0.066%
from yesterday
25% Drop Probability25% Drop
6.8%
↓
0.121%
from yesterday
Years Until 25% Drop25% Freq.
14.7years
↑
0.255%
from yesterday
Model RiskModel Risk
2.16
↓
0.07%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.35 | 2.07 | 4.44 | 4.28 | 4.47 | 2.44 | 3.34 | 2.16 |
| ES | 3.37 | 2.37 | 5.09 | 4.9 | 5.63 | 3.36 | 4.12 | 2.38 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
