Value-at-RiskVaR
2.34฿
↓
0.051%
from yesterday
Expected ShortfallES
2.92฿
↓
0.06%
from yesterday
25% Drop Probability25% Drop
4.6%
↓
0.104%
from yesterday
Years Until 25% Drop25% Freq.
21.6years
↑
0.473%
from yesterday
Model RiskModel Risk
1.41
↑
0.006%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.35 | 2.09 | 2.87 | 2.03 | 2.26 | 2.43 | 2.34 | 1.41 |
| ES | 3.35 | 2.39 | 3.29 | 2.33 | 2.84 | 3.33 | 2.92 | 1.44 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
