Value-at-RiskVaR
5.24$
↓
0.109%
from yesterday
Expected ShortfallES
6.51$
↓
0.133%
from yesterday
25% Drop Probability25% Drop
11%
↓
0.259%
from yesterday
Years Until 25% Drop25% Freq.
9.1years
↑
0.21%
from yesterday
Model RiskModel Risk
1.62
↓
0.056%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.47 | 3.97 | 6.29 | 5.69 | 6.43 | 4.56 | 5.24 | 1.62 |
| ES | 6.08 | 4.55 | 7.21 | 6.51 | 8.56 | 6.12 | 6.51 | 1.88 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
