Value-at-RiskVaR
2.11
↓
0.048%
from yesterday
Expected ShortfallES
2.75
↓
0.056%
from yesterday
25% Drop Probability25% Drop
5%
↓
0.103%
from yesterday
Years Until 25% Drop25% Freq.
20.1years
↑
0.407%
from yesterday
Model RiskModel Risk
1.3
↑
0.011%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.48 | 1.93 | 1.97 | 1.91 | 2.03 | 2.32 | 2.11 | 1.3 |
| ES | 3.49 | 2.21 | 2.26 | 2.19 | 2.52 | 3.8 | 2.75 | 1.74 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
