Value-at-RiskVaR
3.64₫
↓
0.097%
from yesterday
Expected ShortfallES
4.46₫
↓
0.122%
from yesterday
25% Drop Probability25% Drop
7.1%
↓
0.261%
from yesterday
Years Until 25% Drop25% Freq.
14.1years
↑
0.499%
from yesterday
Model RiskModel Risk
1.81
↑
0.136%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.94 | 3.21 | 2.89 | 2.73 | 3.16 | 4.91 | 3.64 | 1.81 |
| ES | 5.99 | 3.68 | 3.31 | 3.13 | 4.51 | 6.16 | 4.46 | 1.97 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
