Value-at-RiskVaR
3.46$
↓
0.021%
from yesterday
Expected ShortfallES
4.27$
↓
0.027%
from yesterday
25% Drop Probability25% Drop
6.8%
↓
0.059%
from yesterday
Years Until 25% Drop25% Freq.
14.8years
↑
0.127%
from yesterday
Model RiskModel Risk
2.82
↑
0.051%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.94 | 4.16 | 1.75 | 2.57 | 2.69 | 4.68 | 3.47 | 2.82 |
| ES | 6.02 | 4.76 | 2 | 2.95 | 3.62 | 6.26 | 4.27 | 3.13 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
