Value-at-RiskVaR
4.33$
↓
0.019%
from yesterday
Expected ShortfallES
5.6$
↓
0.024%
from yesterday
25% Drop Probability25% Drop
9.7%
↓
0.049%
from yesterday
Years Until 25% Drop25% Freq.
10.3years
↑
0.052%
from yesterday
Model RiskModel Risk
1.27
↓
0.014%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.54 | 4.32 | 4.3 | 3.73 | 4.32 | 4.75 | 4.33 | 1.27 |
| ES | 6.72 | 4.95 | 4.92 | 4.27 | 5.73 | 7.02 | 5.6 | 1.64 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
