Value-at-RiskVaR
3.85$
↓
0.038%
from yesterday
Expected ShortfallES
4.81$
↓
0.051%
from yesterday
25% Drop Probability25% Drop
8.4%
↓
0.124%
from yesterday
Years Until 25% Drop25% Freq.
12years
↑
0.175%
from yesterday
Model RiskModel Risk
1.33
↑
0.029%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.56 | 3.58 | 3.61 | 3.43 | 3.55 | 4.35 | 3.85 | 1.33 |
| ES | 5.61 | 4.1 | 4.14 | 3.93 | 4.86 | 6.21 | 4.81 | 1.58 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
