Value-at-RiskVaR
4.08$
↓
0.052%
from yesterday
Expected ShortfallES
5.05$
↓
0.066%
from yesterday
25% Drop Probability25% Drop
8.5%
↓
0.145%
from yesterday
Years Until 25% Drop25% Freq.
11.8years
↑
0.199%
from yesterday
Model RiskModel Risk
1.48
↑
0.031%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.97 | 4.12 | 3.37 | 3.4 | 3.9 | 4.73 | 4.08 | 1.48 |
| ES | 6.04 | 4.72 | 3.86 | 3.9 | 5.34 | 6.43 | 5.05 | 1.67 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
