Value-at-RiskVaR
4.27$
↑
0.068%
from yesterday
Expected ShortfallES
5.28$
↑
0.085%
from yesterday
25% Drop Probability25% Drop
8.9%
↑
0.182%
from yesterday
Years Until 25% Drop25% Freq.
11.2years
↓
0.233%
from yesterday
Model RiskModel Risk
1.36
↓
0.028%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.97 | 4.13 | 3.66 | 3.75 | 4.37 | 4.73 | 4.27 | 1.36 |
| ES | 6.04 | 4.73 | 4.19 | 4.3 | 5.97 | 6.43 | 5.28 | 1.54 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
