Value-at-RiskVaR
4.68$
↓
0.04%
from yesterday
Expected ShortfallES
5.77$
↓
0.05%
from yesterday
25% Drop Probability25% Drop
9.8%
↓
0.101%
from yesterday
Years Until 25% Drop25% Freq.
10.2years
↑
0.103%
from yesterday
Model RiskModel Risk
1.26
↓
0.022%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.97 | 4.15 | 4.4 | 4.56 | 5.24 | 4.73 | 4.68 | 1.26 |
| ES | 6.04 | 4.76 | 5.04 | 5.23 | 7.1 | 6.43 | 5.77 | 1.49 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
