Value-at-RiskVaR
1.84﷼
↓
0.022%
from yesterday
Expected ShortfallES
2.41﷼
↓
0.026%
from yesterday
25% Drop Probability25% Drop
4.1%
↓
0.046%
from yesterday
Years Until 25% Drop25% Freq.
24.4years
↑
0.27%
from yesterday
Model RiskModel Risk
1.67
↑
0.004%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.27 | 2.02 | 1.42 | 1.41 | 1.57 | 2.35 | 1.84 | 1.67 |
| ES | 3.37 | 2.32 | 1.63 | 1.61 | 1.98 | 3.56 | 2.41 | 2.21 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
