Value-at-RiskVaR
4.03¥
↓
0.081%
from yesterday
Expected ShortfallES
5.13¥
↓
0.099%
from yesterday
25% Drop Probability25% Drop
8.7%
↓
0.196%
from yesterday
Years Until 25% Drop25% Freq.
11.5years
↑
0.253%
from yesterday
Model RiskModel Risk
1.73
↓
0.127%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.46 | 2.9 | 4.58 | 4.72 | 5.03 | 3.47 | 4.03 | 1.73 |
| ES | 5.29 | 3.32 | 5.25 | 5.41 | 6.23 | 5.27 | 5.13 | 1.87 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
