Value-at-RiskVaR
4.02NT$
↓
0.125%
from yesterday
Expected ShortfallES
5.22NT$
↓
0.15%
from yesterday
25% Drop Probability25% Drop
10.1%
↓
0.283%
from yesterday
Years Until 25% Drop25% Freq.
9.9years
↑
0.272%
from yesterday
Model RiskModel Risk
1.53
↓
0.048%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.1 | 3.07 | 4.7 | 4.19 | 4.38 | 3.66 | 4.02 | 1.53 |
| ES | 5.59 | 3.51 | 5.38 | 4.81 | 5.58 | 6.44 | 5.22 | 1.83 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
