Value-at-RiskVaR
2.67¥
↓
0.035%
from yesterday
Expected ShortfallES
3.61¥
↓
0.041%
from yesterday
25% Drop Probability25% Drop
6.3%
↓
0.072%
from yesterday
Years Until 25% Drop25% Freq.
15.8years
↑
0.178%
from yesterday
Model RiskModel Risk
1.52
↑
0.057%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.13 | 2.85 | 2.41 | 2.12 | 2.31 | 3.22 | 2.67 | 1.52 |
| ES | 5.17 | 3.26 | 2.76 | 2.43 | 2.86 | 5.2 | 3.61 | 2.14 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
