Value-at-RiskVaR
2.19﷼
↑
0.09%
from yesterday
Expected ShortfallES
2.82﷼
↑
0.106%
from yesterday
25% Drop Probability25% Drop
4.8%
↑
0.195%
from yesterday
Years Until 25% Drop25% Freq.
20.8years
↓
0.883%
from yesterday
Model RiskModel Risk
1.18
↓
0.075%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.27 | 2.05 | 2.01 | 2.18 | 2.28 | 2.37 | 2.19 | 1.18 |
| ES | 3.37 | 2.35 | 2.31 | 2.5 | 2.88 | 3.54 | 2.82 | 1.54 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
