Value-at-RiskVaR
0.94
↓
0.007%
from yesterday
Expected ShortfallES
1.16
↓
0.008%
from yesterday
25% Drop Probability25% Drop
1.8%
↓
0.014%
from yesterday
Years Until 25% Drop25% Freq.
55.4years
↑
0.426%
from yesterday
Model RiskModel Risk
2.51
↑
0.077%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.34 | 1.14 | 0.53 | 0.67 | 0.66 | 1.32 | 0.94 | 2.51 |
| ES | 1.66 | 1.31 | 0.61 | 0.77 | 0.84 | 1.78 | 1.16 | 2.91 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
