Value-at-RiskVaR
3.4¥
↓
0.197%
from yesterday
Expected ShortfallES
4.49¥
↓
0.234%
from yesterday
25% Drop Probability25% Drop
8.2%
↓
0.421%
from yesterday
Years Until 25% Drop25% Freq.
12.2years
↑
0.592%
from yesterday
Model RiskModel Risk
1.47
↓
0.02%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.43 | 2.88 | 4.22 | 3.07 | 3.48 | 3.34 | 3.4 | 1.47 |
| ES | 5.29 | 3.3 | 4.83 | 3.52 | 4.32 | 5.66 | 4.49 | 1.72 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
