Value-at-RiskVaR
0.97
↓
0.007%
from yesterday
Expected ShortfallES
1.2
↓
0.008%
from yesterday
25% Drop Probability25% Drop
2%
↓
0.013%
from yesterday
Years Until 25% Drop25% Freq.
51years
↑
0.335%
from yesterday
Model RiskModel Risk
2.18
↑
0.066%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.32 | 1.05 | 0.61 | 0.74 | 0.8 | 1.29 | 0.97 | 2.18 |
| ES | 1.64 | 1.21 | 0.69 | 0.85 | 1.04 | 1.79 | 1.2 | 2.58 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
