Value-at-RiskVaR
2.37¥
↑
0.105%
from yesterday
Expected ShortfallES
3.16¥
↑
0.133%
from yesterday
25% Drop Probability25% Drop
5.8%
↑
0.284%
from yesterday
Years Until 25% Drop25% Freq.
17.3years
↓
0.891%
from yesterday
Model RiskModel Risk
1.37
↑
0.011%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.56 | 2.3 | 1.92 | 2.3 | 2.53 | 2.63 | 2.37 | 1.37 |
| ES | 3.97 | 2.64 | 2.2 | 2.64 | 3.4 | 4.14 | 3.16 | 1.88 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
