Value-at-RiskVaR
1.99﷼
↓
0.038%
from yesterday
Expected ShortfallES
2.58﷼
↓
0.045%
from yesterday
25% Drop Probability25% Drop
4.4%
↓
0.087%
from yesterday
Years Until 25% Drop25% Freq.
22.9years
↑
0.449%
from yesterday
Model RiskModel Risk
1.41
↑
0.064%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.27 | 2.04 | 1.77 | 1.68 | 1.83 | 2.37 | 1.99 | 1.41 |
| ES | 3.37 | 2.34 | 2.02 | 1.93 | 2.3 | 3.54 | 2.58 | 1.84 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
