Value-at-RiskVaR
3.62$
↓
0.013%
from yesterday
Expected ShortfallES
4.45$
↓
0.016%
from yesterday
25% Drop Probability25% Drop
7.1%
↓
0.038%
from yesterday
Years Until 25% Drop25% Freq.
14.1years
↑
0.075%
from yesterday
Model RiskModel Risk
2.32
↓
0.013%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.94 | 4.17 | 2.13 | 2.8 | 3 | 4.68 | 3.62 | 2.32 |
| ES | 6.02 | 4.78 | 2.44 | 3.21 | 4.02 | 6.26 | 4.46 | 2.57 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
