Value-at-RiskVaR
4NT$
↓
0.077%
from yesterday
Expected ShortfallES
5.2NT$
↓
0.094%
from yesterday
25% Drop Probability25% Drop
10%
↓
0.184%
from yesterday
Years Until 25% Drop25% Freq.
10years
↑
0.179%
from yesterday
Model RiskModel Risk
1.46
↓
0.126%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.1 | 3.09 | 4.38 | 4.26 | 4.5 | 3.66 | 4 | 1.46 |
| ES | 5.59 | 3.54 | 5.01 | 4.88 | 5.73 | 6.44 | 5.2 | 1.82 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
