Value-at-RiskVaR
2.3¥
↑
0.04%
from yesterday
Expected ShortfallES
3.07¥
↑
0.05%
from yesterday
25% Drop Probability25% Drop
5.6%
↑
0.104%
from yesterday
Years Until 25% Drop25% Freq.
17.9years
↓
0.339%
from yesterday
Model RiskModel Risk
1.35
↑
0.003%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.56 | 2.3 | 1.95 | 2.09 | 2.27 | 2.63 | 2.3 | 1.35 |
| ES | 3.97 | 2.63 | 2.23 | 2.4 | 3.06 | 4.14 | 3.07 | 1.85 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
