Value-at-RiskVaR
2.79$
↑
0.246%
from yesterday
Expected ShortfallES
3.62$
↑
0.304%
from yesterday
25% Drop Probability25% Drop
7.1%
↑
0.791%
from yesterday
Years Until 25% Drop25% Freq.
14.2years
↓
1.787%
from yesterday
Model RiskModel Risk
1.87
↑
0.224%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.43 | 2.06 | 2.97 | 3.17 | 3.85 | 2.28 | 2.79 | 1.87 |
| ES | 3.28 | 2.36 | 3.4 | 3.63 | 5.54 | 3.47 | 3.62 | 2.35 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
