Value-at-RiskVaR
4.14NT$
↓
0.102%
from yesterday
Expected ShortfallES
5.37NT$
↓
0.125%
from yesterday
25% Drop Probability25% Drop
10.4%
↓
0.243%
from yesterday
Years Until 25% Drop25% Freq.
9.6years
↑
0.219%
from yesterday
Model RiskModel Risk
1.67
↑
0.008%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.1 | 3.06 | 5.1 | 4.38 | 4.48 | 3.68 | 4.14 | 1.67 |
| ES | 5.59 | 3.51 | 5.85 | 5.02 | 5.68 | 6.57 | 5.37 | 1.87 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
