Value-at-RiskVaR
2.55
↓
0.114%
from yesterday
Expected ShortfallES
3.27
↓
0.137%
from yesterday
25% Drop Probability25% Drop
5.9%
↓
0.257%
from yesterday
Years Until 25% Drop25% Freq.
16.9years
↑
0.702%
from yesterday
Model RiskModel Risk
1.48
↓
0.24%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.48 | 1.95 | 2.89 | 2.73 | 2.86 | 2.39 | 2.55 | 1.48 |
| ES | 3.49 | 2.23 | 3.31 | 3.13 | 3.56 | 3.91 | 3.27 | 1.75 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
