Value-at-RiskVaR
2.68¥
↓
0.065%
from yesterday
Expected ShortfallES
3.62¥
↓
0.077%
from yesterday
25% Drop Probability25% Drop
6.3%
↓
0.136%
from yesterday
Years Until 25% Drop25% Freq.
15.8years
↑
0.332%
from yesterday
Model RiskModel Risk
1.57
↑
0.112%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.13 | 2.84 | 2.53 | 2.06 | 2.27 | 3.22 | 2.68 | 1.57 |
| ES | 5.17 | 3.25 | 2.9 | 2.36 | 2.82 | 5.2 | 3.62 | 2.2 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
