Value-at-RiskVaR
8.39$
↑
0.01%
from yesterday
Expected ShortfallES
10.2$
↑
0.008%
from yesterday
25% Drop Probability25% Drop
15.6%
↓
0.001%
from yesterday
Years Until 25% Drop25% Freq.
6.4years
→
0%
from yesterday
Model RiskModel Risk
1.79
↓
0.046%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 10.24 | 8.94 | 5.74 | 7.34 | 7.87 | 10.18 | 8.38 | 1.79 |
| ES | 12.79 | 10.24 | 6.57 | 8.41 | 10.16 | 13.01 | 10.2 | 1.98 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
