Value-at-RiskVaR
3.32NT$
↑
0.032%
from yesterday
Expected ShortfallES
4.4NT$
↑
0.036%
from yesterday
25% Drop Probability25% Drop
8.3%
↑
0.054%
from yesterday
Years Until 25% Drop25% Freq.
12.1years
↓
0.08%
from yesterday
Model RiskModel Risk
1.27
↓
0.074%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.68 | 2.94 | 2.9 | 3.34 | 3.54 | 3.53 | 3.32 | 1.27 |
| ES | 5.45 | 3.36 | 3.32 | 3.83 | 4.49 | 5.96 | 4.4 | 1.79 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
