Value-at-RiskVaR
4.23$
↓
0.041%
from yesterday
Expected ShortfallES
5.18$
↓
0.053%
from yesterday
25% Drop Probability25% Drop
8.6%
↓
0.119%
from yesterday
Years Until 25% Drop25% Freq.
11.7years
↑
0.16%
from yesterday
Model RiskModel Risk
1.32
↓
0.016%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.92 | 4.04 | 3.73 | 3.77 | 4.34 | 4.6 | 4.23 | 1.32 |
| ES | 5.92 | 4.62 | 4.27 | 4.32 | 5.94 | 6.04 | 5.18 | 1.42 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
