Value-at-RiskVaR
2.97¥
↓
0.076%
from yesterday
Expected ShortfallES
3.89¥
↓
0.09%
from yesterday
25% Drop Probability25% Drop
6.5%
↓
0.161%
from yesterday
Years Until 25% Drop25% Freq.
15.3years
↑
0.368%
from yesterday
Model RiskModel Risk
1.61
↑
0.149%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.46 | 2.9 | 3.45 | 2.17 | 2.36 | 3.48 | 2.97 | 1.61 |
| ES | 5.29 | 3.32 | 3.95 | 2.48 | 2.96 | 5.31 | 3.89 | 2.14 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
