Value-at-RiskVaR
2.58¥
↓
0.011%
from yesterday
Expected ShortfallES
3.39¥
↓
0.013%
from yesterday
25% Drop Probability25% Drop
5.8%
↓
0.028%
from yesterday
Years Until 25% Drop25% Freq.
17.1years
↑
0.082%
from yesterday
Model RiskModel Risk
1.23
↓
0.001%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.64 | 2.36 | 2.71 | 2.29 | 2.63 | 2.83 | 2.58 | 1.23 |
| ES | 4.23 | 2.71 | 3.1 | 2.62 | 3.55 | 4.14 | 3.39 | 1.61 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
