Value-at-RiskVaR
2A$
↓
0.063%
from yesterday
Expected ShortfallES
2.43A$
↓
0.074%
from yesterday
25% Drop Probability25% Drop
3.7%
↓
0.129%
from yesterday
Years Until 25% Drop25% Freq.
27.4years
↑
0.934%
from yesterday
Model RiskModel Risk
1.21
↑
0.045%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.1 | 1.86 | 2.16 | 1.79 | 1.92 | 2.16 | 2 | 1.21 |
| ES | 2.79 | 2.13 | 2.47 | 2.05 | 2.35 | 2.79 | 2.43 | 1.36 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
