Value-at-RiskVaR
3.79NT$
↓
0.116%
from yesterday
Expected ShortfallES
4.95NT$
↓
0.139%
from yesterday
25% Drop Probability25% Drop
9.5%
↓
0.259%
from yesterday
Years Until 25% Drop25% Freq.
10.5years
↑
0.277%
from yesterday
Model RiskModel Risk
1.45
↓
0.041%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.1 | 3.07 | 4.46 | 3.66 | 3.79 | 3.66 | 3.79 | 1.45 |
| ES | 5.59 | 3.52 | 5.11 | 4.2 | 4.83 | 6.44 | 4.94 | 1.83 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
