Value-at-RiskVaR
2.01﷼
↓
0.057%
from yesterday
Expected ShortfallES
2.61﷼
↓
0.062%
from yesterday
25% Drop Probability25% Drop
4.5%
↓
0.072%
from yesterday
Years Until 25% Drop25% Freq.
22.5years
↑
0.357%
from yesterday
Model RiskModel Risk
1.34
↓
0.032%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.27 | 2.04 | 1.79 | 1.75 | 1.89 | 2.34 | 2.01 | 1.34 |
| ES | 3.37 | 2.33 | 2.05 | 2.01 | 2.39 | 3.54 | 2.61 | 1.77 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
