Value-at-RiskVaR
2.23¥
↓
0.024%
from yesterday
Expected ShortfallES
2.96¥
↓
0.028%
from yesterday
25% Drop Probability25% Drop
5.1%
↓
0.052%
from yesterday
Years Until 25% Drop25% Freq.
19.7years
↑
0.199%
from yesterday
Model RiskModel Risk
1.71
↑
0.038%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.62 | 2.35 | 1.61 | 1.92 | 2.1 | 2.75 | 2.23 | 1.71 |
| ES | 4.12 | 2.69 | 1.85 | 2.2 | 2.81 | 4.09 | 2.96 | 2.23 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
