Value-at-RiskVaR
1.12
↓
0.008%
from yesterday
Expected ShortfallES
1.36
↓
0.009%
from yesterday
25% Drop Probability25% Drop
2.1%
↓
0.017%
from yesterday
Years Until 25% Drop25% Freq.
47.5years
↑
0.38%
from yesterday
Model RiskModel Risk
1.43
↑
0.017%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.34 | 1.11 | 0.94 | 0.94 | 1.04 | 1.33 | 1.12 | 1.43 |
| ES | 1.66 | 1.27 | 1.08 | 1.08 | 1.34 | 1.72 | 1.36 | 1.6 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
