Value-at-RiskVaR
2.77¥
↓
0.037%
from yesterday
Expected ShortfallES
3.73¥
↓
0.045%
from yesterday
25% Drop Probability25% Drop
6.5%
↓
0.082%
from yesterday
Years Until 25% Drop25% Freq.
15.3years
↑
0.189%
from yesterday
Model RiskModel Risk
1.37
↑
0.016%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.13 | 2.84 | 2.35 | 2.43 | 2.64 | 3.22 | 2.77 | 1.37 |
| ES | 5.17 | 3.25 | 2.7 | 2.79 | 3.27 | 5.2 | 3.73 | 1.93 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
