Value-at-RiskVaR
2.71฿
↓
0.06%
from yesterday
Expected ShortfallES
3.36฿
↓
0.071%
from yesterday
25% Drop Probability25% Drop
5.4%
↓
0.125%
from yesterday
Years Until 25% Drop25% Freq.
18.6years
↑
0.421%
from yesterday
Model RiskModel Risk
1.73
↓
0.01%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.39 | 2.1 | 3.64 | 2.69 | 2.98 | 2.47 | 2.71 | 1.73 |
| ES | 3.39 | 2.4 | 4.17 | 3.09 | 3.75 | 3.36 | 3.36 | 1.73 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
