Value-at-RiskVaR
2.24¥
↓
0.029%
from yesterday
Expected ShortfallES
2.99¥
↓
0.036%
from yesterday
25% Drop Probability25% Drop
5.3%
↓
0.074%
from yesterday
Years Until 25% Drop25% Freq.
18.8years
↑
0.259%
from yesterday
Model RiskModel Risk
1.36
↑
0.033%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.51 | 2.29 | 2.03 | 1.91 | 2.1 | 2.6 | 2.24 | 1.36 |
| ES | 3.96 | 2.62 | 2.33 | 2.19 | 2.82 | 4.02 | 2.99 | 1.84 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
