Value-at-RiskVaR
2.24¥
↓
0.028%
from yesterday
Expected ShortfallES
2.98¥
↓
0.034%
from yesterday
25% Drop Probability25% Drop
5.1%
↓
0.063%
from yesterday
Years Until 25% Drop25% Freq.
19.5years
↑
0.237%
from yesterday
Model RiskModel Risk
1.67
↑
0.003%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.62 | 2.34 | 1.65 | 1.94 | 2.12 | 2.75 | 2.24 | 1.67 |
| ES | 4.12 | 2.69 | 1.89 | 2.23 | 2.84 | 4.09 | 2.98 | 2.19 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
