Value-at-RiskVaR
2.33﷼
↓
0.106%
from yesterday
Expected ShortfallES
2.98﷼
↓
0.127%
from yesterday
25% Drop Probability25% Drop
5.1%
↓
0.232%
from yesterday
Years Until 25% Drop25% Freq.
19.8years
↑
0.865%
from yesterday
Model RiskModel Risk
1.23
↓
0.106%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.27 | 2.04 | 2.52 | 2.31 | 2.47 | 2.37 | 2.33 | 1.23 |
| ES | 3.37 | 2.34 | 2.89 | 2.64 | 3.11 | 3.54 | 2.98 | 1.51 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
