Value-at-RiskVaR
2.34¥
↓
0.018%
from yesterday
Expected ShortfallES
3.14¥
↓
0.021%
from yesterday
25% Drop Probability25% Drop
5.6%
↓
0.035%
from yesterday
Years Until 25% Drop25% Freq.
17.9years
↑
0.111%
from yesterday
Model RiskModel Risk
1.47
↑
0.013%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.64 | 2.35 | 2.27 | 1.9 | 2.07 | 2.79 | 2.34 | 1.47 |
| ES | 4.23 | 2.7 | 2.6 | 2.18 | 2.81 | 4.32 | 3.14 | 1.98 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
