Value-at-RiskVaR
3.76$
↓
0.063%
from yesterday
Expected ShortfallES
4.75$
↓
0.076%
from yesterday
25% Drop Probability25% Drop
7.9%
↓
0.146%
from yesterday
Years Until 25% Drop25% Freq.
12.7years
↑
0.23%
from yesterday
Model RiskModel Risk
1.92
↓
0.043%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.87 | 2.67 | 5.13 | 4.12 | 4.69 | 3.05 | 3.76 | 1.92 |
| ES | 4.5 | 3.06 | 5.88 | 4.72 | 6.1 | 4.21 | 4.74 | 2 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
