Value-at-RiskVaR
2.37﷼
↑
0.061%
from yesterday
Expected ShortfallES
3.04﷼
↑
0.072%
from yesterday
25% Drop Probability25% Drop
5.2%
↑
0.132%
from yesterday
Years Until 25% Drop25% Freq.
19years
↓
0.491%
from yesterday
Model RiskModel Risk
1.38
↑
0.04%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.27 | 2.03 | 2.06 | 2.73 | 2.8 | 2.35 | 2.37 | 1.38 |
| ES | 3.37 | 2.32 | 2.36 | 3.13 | 3.53 | 3.56 | 3.04 | 1.53 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
