Value-at-RiskVaR
1.76﷼
↓
0.024%
from yesterday
Expected ShortfallES
2.28﷼
↓
0.028%
from yesterday
25% Drop Probability25% Drop
3.8%
↓
0.049%
from yesterday
Years Until 25% Drop25% Freq.
26.1years
↑
0.33%
from yesterday
Model RiskModel Risk
1.72
↑
0.072%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.21 | 1.99 | 1.38 | 1.29 | 1.47 | 2.23 | 1.76 | 1.72 |
| ES | 3.18 | 2.28 | 1.58 | 1.48 | 1.84 | 3.33 | 2.28 | 2.25 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
