Value-at-RiskVaR
3.06R$
↑
0.019%
from yesterday
Expected ShortfallES
3.58R$
↑
0.021%
from yesterday
25% Drop Probability25% Drop
5.4%
↑
0.03%
from yesterday
Years Until 25% Drop25% Freq.
18.5years
↓
0.103%
from yesterday
Model RiskModel Risk
1.44
↑
0.062%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.85 | 2.51 | 3.62 | 3.25 | 3.41 | 2.74 | 3.06 | 1.44 |
| ES | 3.25 | 2.88 | 4.15 | 3.72 | 4.14 | 3.37 | 3.58 | 1.44 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
