Value-at-RiskVaR
4.03$
↓
0.049%
from yesterday
Expected ShortfallES
4.94$
↓
0.062%
from yesterday
25% Drop Probability25% Drop
8.1%
↓
0.136%
from yesterday
Years Until 25% Drop25% Freq.
12.4years
↑
0.206%
from yesterday
Model RiskModel Risk
1.4
↑
0.041%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.8 | 4 | 3.42 | 3.46 | 4 | 4.52 | 4.03 | 1.4 |
| ES | 5.82 | 4.59 | 3.91 | 3.97 | 5.47 | 5.88 | 4.94 | 1.5 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
