Value-at-RiskVaR
1.98﷼
↓
0.054%
from yesterday
Expected ShortfallES
2.57﷼
↓
0.065%
from yesterday
25% Drop Probability25% Drop
4.3%
↓
0.117%
from yesterday
Years Until 25% Drop25% Freq.
23.1years
↑
0.61%
from yesterday
Model RiskModel Risk
1.59
↑
0.14%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.27 | 2.04 | 2.05 | 1.49 | 1.68 | 2.37 | 1.98 | 1.59 |
| ES | 3.37 | 2.33 | 2.34 | 1.71 | 2.12 | 3.54 | 2.57 | 2.07 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
