Value-at-RiskVaR
1.18
↓
0.006%
from yesterday
Expected ShortfallES
1.43
↓
0.007%
from yesterday
25% Drop Probability25% Drop
2.2%
↓
0.012%
from yesterday
Years Until 25% Drop25% Freq.
44.8years
↑
0.24%
from yesterday
Model RiskModel Risk
1.27
↑
0.021%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.34 | 1.11 | 1.08 | 1.05 | 1.17 | 1.33 | 1.18 | 1.27 |
| ES | 1.66 | 1.27 | 1.23 | 1.21 | 1.5 | 1.72 | 1.43 | 1.43 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
