Value-at-RiskVaR
3.52₫
↑
0.116%
from yesterday
Expected ShortfallES
4.32₫
↑
0.154%
from yesterday
25% Drop Probability25% Drop
6.8%
↑
0.373%
from yesterday
Years Until 25% Drop25% Freq.
14.7years
↓
0.85%
from yesterday
Model RiskModel Risk
2.01
↓
0.196%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.94 | 3.21 | 2.46 | 2.58 | 3.01 | 4.91 | 3.52 | 2.01 |
| ES | 5.99 | 3.68 | 2.82 | 2.95 | 4.29 | 6.16 | 4.32 | 2.19 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
