Value-at-RiskVaR
2.9¥
↓
0.027%
from yesterday
Expected ShortfallES
4.02¥
↑
0.115%
from yesterday
25% Drop Probability25% Drop
8.2%
↑
1.355%
from yesterday
Years Until 25% Drop25% Freq.
12.2years
↓
2.408%
from yesterday
Model RiskModel Risk
1.2
↓
0.034%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.13 | 2.84 | 2.88 | 2.61 | 2.81 | 3.1 | 2.9 | 1.2 |
| ES | 5.17 | 3.26 | 3.3 | 2.99 | 3.49 | 5.93 | 4.02 | 1.98 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
