Value-at-RiskVaR
1.19
↓
0.007%
from yesterday
Expected ShortfallES
1.44
↓
0.009%
from yesterday
25% Drop Probability25% Drop
2.2%
↓
0.015%
from yesterday
Years Until 25% Drop25% Freq.
44.6years
↑
0.296%
from yesterday
Model RiskModel Risk
1.25
Max/min VaR ratio
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.34 | 1.11 | 1.08 | 1.07 | 1.19 | 1.33 | 1.19 | 1.25 |
| ES | 1.66 | 1.27 | 1.23 | 1.22 | 1.53 | 1.72 | 1.44 | 1.41 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
