Value-at-RiskVaR
3.36$
↓
0.009%
from yesterday
Expected ShortfallES
4$
↓
0.012%
from yesterday
25% Drop Probability25% Drop
6%
↓
0.027%
from yesterday
Years Until 25% Drop25% Freq.
16.8years
↑
0.076%
from yesterday
Model RiskModel Risk
1.61
↓
0.141%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.17 | 3.4 | 2.59 | 2.87 | 3.04 | 4.06 | 3.36 | 1.61 |
| ES | 4.94 | 3.9 | 2.97 | 3.29 | 3.73 | 5.19 | 4 | 1.75 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
