Value-at-RiskVaR
2.91NT$
↓
0.037%
from yesterday
Expected ShortfallES
3.92NT$
↓
0.045%
from yesterday
25% Drop Probability25% Drop
7.4%
↓
0.085%
from yesterday
Years Until 25% Drop25% Freq.
13.5years
↑
0.154%
from yesterday
Model RiskModel Risk
1.61
↑
0.066%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.68 | 2.91 | 2.49 | 2.29 | 2.57 | 3.53 | 2.91 | 1.61 |
| ES | 5.45 | 3.33 | 2.86 | 2.63 | 3.29 | 5.96 | 3.92 | 2.27 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
