Value-at-RiskVaR
3.14NT$
↑
0.024%
from yesterday
Expected ShortfallES
4.19NT$
↑
0.028%
from yesterday
25% Drop Probability25% Drop
7.9%
↑
0.053%
from yesterday
Years Until 25% Drop25% Freq.
12.7years
↓
0.086%
from yesterday
Model RiskModel Risk
1.42
↑
0.041%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.68 | 2.93 | 2.6 | 2.94 | 3.16 | 3.53 | 3.14 | 1.42 |
| ES | 5.45 | 3.36 | 2.98 | 3.37 | 4.03 | 5.96 | 4.19 | 2 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
