Value-at-RiskVaR
3.12¥
↓
0.043%
from yesterday
Expected ShortfallES
4.07¥
↓
0.051%
from yesterday
25% Drop Probability25% Drop
6.9%
↓
0.096%
from yesterday
Years Until 25% Drop25% Freq.
14.5years
↑
0.199%
from yesterday
Model RiskModel Risk
1.26
↑
0.066%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.46 | 2.91 | 3.13 | 2.76 | 2.97 | 3.48 | 3.12 | 1.26 |
| ES | 5.29 | 3.33 | 3.59 | 3.16 | 3.72 | 5.31 | 4.06 | 1.68 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
