Value-at-RiskVaR
2.15¥
↓
0.011%
from yesterday
Expected ShortfallES
2.87¥
↓
0.012%
from yesterday
25% Drop Probability25% Drop
4.9%
↓
0.014%
from yesterday
Years Until 25% Drop25% Freq.
20.3years
↑
0.058%
from yesterday
Model RiskModel Risk
1.99
↑
0.057%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.62 | 2.34 | 1.38 | 1.83 | 1.95 | 2.75 | 2.14 | 1.99 |
| ES | 4.12 | 2.68 | 1.59 | 2.1 | 2.61 | 4.09 | 2.87 | 2.6 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
