Value-at-RiskVaR
2.05฿
↓
0.029%
from yesterday
Expected ShortfallES
2.47฿
↓
0.034%
from yesterday
25% Drop Probability25% Drop
3.7%
↓
0.062%
from yesterday
Years Until 25% Drop25% Freq.
27.4years
↑
0.457%
from yesterday
Model RiskModel Risk
1.22
↑
0.041%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.22 | 1.94 | 1.95 | 1.87 | 2.02 | 2.29 | 2.05 | 1.22 |
| ES | 2.84 | 2.23 | 2.23 | 2.14 | 2.52 | 2.84 | 2.47 | 1.33 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
