Value-at-RiskVaR
1.19
↓
0.012%
from yesterday
Expected ShortfallES
1.44
↓
0.014%
from yesterday
25% Drop Probability25% Drop
2.2%
↓
0.024%
from yesterday
Years Until 25% Drop25% Freq.
44.8years
↑
0.476%
from yesterday
Model RiskModel Risk
1.26
↑
0.02%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.34 | 1.1 | 1.09 | 1.06 | 1.19 | 1.34 | 1.19 | 1.26 |
| ES | 1.66 | 1.26 | 1.25 | 1.22 | 1.54 | 1.71 | 1.44 | 1.4 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
