Value-at-RiskVaR
3.99NT$
↓
0.158%
from yesterday
Expected ShortfallES
5.19NT$
↓
0.193%
from yesterday
25% Drop Probability25% Drop
9.8%
↓
0.373%
from yesterday
Years Until 25% Drop25% Freq.
10.2years
↑
0.377%
from yesterday
Model RiskModel Risk
1.58
↓
0.19%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.89 | 2.97 | 4.25 | 4.55 | 4.7 | 3.61 | 3.99 | 1.58 |
| ES | 5.52 | 3.41 | 4.87 | 5.21 | 5.97 | 6.15 | 5.19 | 1.81 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
