Value-at-RiskVaR
1.9﷼
↓
0.009%
from yesterday
Expected ShortfallES
2.48﷼
↓
0.011%
from yesterday
25% Drop Probability25% Drop
4.2%
↓
0.02%
from yesterday
Years Until 25% Drop25% Freq.
23.7years
↑
0.111%
from yesterday
Model RiskModel Risk
1.62
↑
0.031%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.27 | 2.02 | 1.45 | 1.57 | 1.72 | 2.35 | 1.9 | 1.62 |
| ES | 3.37 | 2.31 | 1.66 | 1.8 | 2.17 | 3.56 | 2.48 | 2.14 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
