Value-at-RiskVaR
2.44฿
↓
0.056%
from yesterday
Expected ShortfallES
3.04฿
↓
0.066%
from yesterday
25% Drop Probability25% Drop
4.9%
↓
0.116%
from yesterday
Years Until 25% Drop25% Freq.
20.6years
↑
0.479%
from yesterday
Model RiskModel Risk
1.33
↓
0.039%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.35 | 2.1 | 2.8 | 2.38 | 2.57 | 2.43 | 2.44 | 1.33 |
| ES | 3.35 | 2.41 | 3.2 | 2.73 | 3.23 | 3.33 | 3.04 | 1.39 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
