Value-at-RiskVaR
5.85$
↑
0.062%
from yesterday
Expected ShortfallES
7.74$
↑
0.071%
from yesterday
25% Drop Probability25% Drop
14.1%
↑
0.116%
from yesterday
Years Until 25% Drop25% Freq.
7.1years
↓
0.058%
from yesterday
Model RiskModel Risk
1.64
↓
0.103%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 6.69 | 6.66 | 4.08 | 5.28 | 5.76 | 6.65 | 5.86 | 1.64 |
| ES | 9.95 | 7.64 | 4.68 | 6.04 | 7.24 | 10.91 | 7.74 | 2.33 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
