Value-at-RiskVaR
2.29
↓
0.088%
from yesterday
Expected ShortfallES
2.96
↓
0.106%
from yesterday
25% Drop Probability25% Drop
5.4%
↓
0.197%
from yesterday
Years Until 25% Drop25% Freq.
18.7years
↑
0.662%
from yesterday
Model RiskModel Risk
1.34
↑
0.025%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.48 | 1.94 | 2.59 | 2.1 | 2.22 | 2.39 | 2.29 | 1.34 |
| ES | 3.49 | 2.22 | 2.97 | 2.4 | 2.76 | 3.91 | 2.96 | 1.76 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
