Value-at-RiskVaR
3.56¥
↓
0.221%
from yesterday
Expected ShortfallES
4.57¥
↓
0.265%
from yesterday
25% Drop Probability25% Drop
7.7%
↓
0.497%
from yesterday
Years Until 25% Drop25% Freq.
12.9years
↑
0.778%
from yesterday
Model RiskModel Risk
1.65
↓
0.04%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.46 | 2.92 | 4.82 | 3.15 | 3.5 | 3.48 | 3.55 | 1.65 |
| ES | 5.29 | 3.35 | 5.53 | 3.61 | 4.37 | 5.31 | 4.57 | 1.65 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
