Value-at-RiskVaR
3.08฿
↓
0.053%
from yesterday
Expected ShortfallES
3.81฿
↓
0.065%
from yesterday
25% Drop Probability25% Drop
6.2%
↓
0.123%
from yesterday
Years Until 25% Drop25% Freq.
16years
↑
0.31%
from yesterday
Model RiskModel Risk
2
↓
0.014%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.35 | 2.08 | 4.15 | 3.6 | 3.85 | 2.44 | 3.08 | 2 |
| ES | 3.37 | 2.38 | 4.75 | 4.13 | 4.84 | 3.36 | 3.8 | 2.03 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
