Value-at-RiskVaR
2.46﷼
↑
0.06%
from yesterday
Expected ShortfallES
3.15﷼
↑
0.069%
from yesterday
25% Drop Probability25% Drop
5.4%
↑
0.116%
from yesterday
Years Until 25% Drop25% Freq.
18.4years
↓
0.401%
from yesterday
Model RiskModel Risk
1.45
↑
0.038%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.27 | 2.04 | 2.28 | 2.88 | 2.95 | 2.35 | 2.46 | 1.45 |
| ES | 3.37 | 2.33 | 2.61 | 3.3 | 3.71 | 3.56 | 3.15 | 1.59 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
