Value-at-RiskVaR
6.4₿
↓
0.064%
from yesterday
Expected ShortfallES
7.92₿
↓
0.088%
from yesterday
25% Drop Probability25% Drop
14.6%
↓
0.253%
from yesterday
Years Until 25% Drop25% Freq.
6.9years
↑
0.117%
from yesterday
Model RiskModel Risk
1.36
↓
0.016%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 6.54 | 5.56 | 5.97 | 6.59 | 7.57 | 6.18 | 6.4 | 1.36 |
| ES | 7.45 | 6.37 | 6.84 | 7.56 | 11.45 | 7.87 | 7.92 | 1.8 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
