Value-at-RiskVaR
2.1
↑
0.014%
from yesterday
Expected ShortfallES
2.74
↑
0.017%
from yesterday
25% Drop Probability25% Drop
5%
↑
0.035%
from yesterday
Years Until 25% Drop25% Freq.
19.9years
↓
0.14%
from yesterday
Model RiskModel Risk
1.45
↓
0.038%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.48 | 1.94 | 2.28 | 1.71 | 1.83 | 2.35 | 2.1 | 1.45 |
| ES | 3.49 | 2.22 | 2.61 | 1.96 | 2.27 | 3.89 | 2.74 | 1.99 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
