Value-at-RiskVaR
3.82NT$
↓
0.109%
from yesterday
Expected ShortfallES
4.99NT$
↓
0.133%
from yesterday
25% Drop Probability25% Drop
9.8%
↓
0.258%
from yesterday
Years Until 25% Drop25% Freq.
10.3years
↑
0.264%
from yesterday
Model RiskModel Risk
1.52
↑
0.028%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.1 | 3.02 | 4.58 | 3.69 | 3.83 | 3.68 | 3.82 | 1.52 |
| ES | 5.59 | 3.46 | 5.25 | 4.22 | 4.86 | 6.57 | 4.99 | 1.9 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
