Value-at-RiskVaR
2.26¥
↓
0.022%
from yesterday
Expected ShortfallES
2.98¥
↓
0.028%
from yesterday
25% Drop Probability25% Drop
4.9%
↓
0.066%
from yesterday
Years Until 25% Drop25% Freq.
20.2years
↑
0.267%
from yesterday
Model RiskModel Risk
1.6
↓
0.01%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.62 | 2.35 | 1.75 | 1.94 | 2.1 | 2.79 | 2.26 | 1.6 |
| ES | 4.12 | 2.69 | 2 | 2.22 | 2.83 | 3.98 | 2.98 | 2.06 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
