Value-at-RiskVaR
4.18$
↑
0.273%
from yesterday
Expected ShortfallES
5.15$
↑
0.342%
from yesterday
25% Drop Probability25% Drop
8.5%
↑
0.724%
from yesterday
Years Until 25% Drop25% Freq.
11.7years
↓
1.092%
from yesterday
Model RiskModel Risk
1.81
↑
0.034%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.94 | 4.14 | 2.73 | 4.09 | 4.51 | 4.68 | 4.18 | 1.81 |
| ES | 6.02 | 4.74 | 3.13 | 4.69 | 6.05 | 6.26 | 5.15 | 2 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
