Value-at-RiskVaR
0.91
↑
0.004%
from yesterday
Expected ShortfallES
1.12
↑
0.006%
from yesterday
25% Drop Probability25% Drop
1.7%
↑
0.013%
from yesterday
Years Until 25% Drop25% Freq.
57.8years
↓
0.438%
from yesterday
Model RiskModel Risk
2.93
↑
0.081%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.34 | 1.13 | 0.46 | 0.6 | 0.6 | 1.32 | 0.91 | 2.93 |
| ES | 1.66 | 1.29 | 0.52 | 0.69 | 0.76 | 1.78 | 1.12 | 3.4 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
