Value-at-RiskVaR
2.3﷼
↑
0.309%
from yesterday
Expected ShortfallES
2.95﷼
↑
0.371%
from yesterday
25% Drop Probability25% Drop
5.1%
↑
0.69%
from yesterday
Years Until 25% Drop25% Freq.
19.7years
↓
3.098%
from yesterday
Model RiskModel Risk
1.39
↓
0.062%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.27 | 2.03 | 1.89 | 2.62 | 2.64 | 2.35 | 2.3 | 1.39 |
| ES | 3.37 | 2.33 | 2.17 | 3 | 3.31 | 3.55 | 2.95 | 1.64 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
