Value-at-RiskVaR
1.05
↓
0.007%
from yesterday
Expected ShortfallES
1.28
↓
0.009%
from yesterday
25% Drop Probability25% Drop
1.9%
↓
0.016%
from yesterday
Years Until 25% Drop25% Freq.
51.4years
↑
0.42%
from yesterday
Model RiskModel Risk
1.73
↑
0.011%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.34 | 1.08 | 0.78 | 0.85 | 0.93 | 1.34 | 1.05 | 1.73 |
| ES | 1.66 | 1.24 | 0.89 | 0.97 | 1.2 | 1.71 | 1.28 | 1.92 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
