Value-at-RiskVaR
2.3$
↓
0.016%
from yesterday
Expected ShortfallES
2.96$
↓
0.02%
from yesterday
25% Drop Probability25% Drop
5.3%
↓
0.042%
from yesterday
Years Until 25% Drop25% Freq.
18.9years
↑
0.148%
from yesterday
Model RiskModel Risk
1.31
↓
0.01%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.15 | 2.04 | 2.68 | 2.09 | 2.66 | 2.18 | 2.3 | 1.31 |
| ES | 3.12 | 2.34 | 3.07 | 2.39 | 3.73 | 3.12 | 2.96 | 1.59 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
