Value-at-RiskVaR
2.19฿
↓
0.012%
from yesterday
Expected ShortfallES
2.75฿
↓
0.014%
from yesterday
25% Drop Probability25% Drop
4.3%
↓
0.029%
from yesterday
Years Until 25% Drop25% Freq.
23years
↑
0.152%
from yesterday
Model RiskModel Risk
1.25
↑
0.043%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.35 | 2.1 | 2.16 | 1.95 | 2.16 | 2.43 | 2.19 | 1.25 |
| ES | 3.35 | 2.41 | 2.47 | 2.23 | 2.71 | 3.33 | 2.75 | 1.5 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
