Value-at-RiskVaR
3.47₫
↓
0.08%
from yesterday
Expected ShortfallES
4.26₫
↓
0.104%
from yesterday
25% Drop Probability25% Drop
6.7%
↓
0.248%
from yesterday
Years Until 25% Drop25% Freq.
15years
↑
0.537%
from yesterday
Model RiskModel Risk
2.1
↑
0.119%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.95 | 3.28 | 2.47 | 2.38 | 2.73 | 4.99 | 3.47 | 2.1 |
| ES | 6.06 | 3.76 | 2.83 | 2.72 | 3.84 | 6.35 | 4.26 | 2.33 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
