Value-at-RiskVaR
2.91¥
↓
0.061%
from yesterday
Expected ShortfallES
3.82¥
↓
0.074%
from yesterday
25% Drop Probability25% Drop
6.5%
↓
0.141%
from yesterday
Years Until 25% Drop25% Freq.
15.5years
↑
0.331%
from yesterday
Model RiskModel Risk
1.52
↑
0.127%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.46 | 2.9 | 2.83 | 2.29 | 2.5 | 3.48 | 2.91 | 1.52 |
| ES | 5.29 | 3.33 | 3.24 | 2.62 | 3.14 | 5.31 | 3.82 | 2.03 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
