Value-at-RiskVaR
3.83NT$
↓
0.003%
from yesterday
Expected ShortfallES
4.99NT$
↓
0.005%
from yesterday
25% Drop Probability25% Drop
9.6%
↓
0.016%
from yesterday
Years Until 25% Drop25% Freq.
10.4years
↑
0.017%
from yesterday
Model RiskModel Risk
1.34
↑
0.005%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.1 | 3.1 | 4.14 | 3.89 | 4.08 | 3.66 | 3.83 | 1.34 |
| ES | 5.59 | 3.55 | 4.75 | 4.46 | 5.16 | 6.44 | 4.99 | 1.81 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
