Value-at-RiskVaR
0.95
↓
0.011%
from yesterday
Expected ShortfallES
1.19
↓
0.014%
from yesterday
25% Drop Probability25% Drop
2%
↓
0.025%
from yesterday
Years Until 25% Drop25% Freq.
49.6years
↑
0.608%
from yesterday
Model RiskModel Risk
2.34
↑
0.175%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.32 | 1.04 | 0.57 | 0.73 | 0.77 | 1.26 | 0.95 | 2.34 |
| ES | 1.64 | 1.19 | 0.65 | 0.83 | 1.01 | 1.82 | 1.19 | 2.81 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
