Value-at-RiskVaR
2.3
↓
0.06%
from yesterday
Expected ShortfallES
2.97
↓
0.073%
from yesterday
25% Drop Probability25% Drop
5.4%
↓
0.135%
from yesterday
Years Until 25% Drop25% Freq.
18.5years
↑
0.453%
from yesterday
Model RiskModel Risk
1.35
↑
0.022%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.48 | 1.95 | 2.62 | 2.11 | 2.25 | 2.39 | 2.3 | 1.35 |
| ES | 3.49 | 2.23 | 3.01 | 2.42 | 2.79 | 3.91 | 2.98 | 1.75 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
