Value-at-RiskVaR
4.99$
↓
0.023%
from yesterday
Expected ShortfallES
6.46$
↓
0.032%
from yesterday
25% Drop Probability25% Drop
10.6%
↓
0.088%
from yesterday
Years Until 25% Drop25% Freq.
9.4years
↑
0.077%
from yesterday
Model RiskModel Risk
1.75
↑
0.057%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 5.79 | 5.34 | 3.58 | 4.26 | 4.72 | 6.27 | 4.99 | 1.75 |
| ES | 8.66 | 6.12 | 4.1 | 4.89 | 6.19 | 8.83 | 6.46 | 2.16 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
