Value-at-RiskVaR
4.32$
↓
0.056%
from yesterday
Expected ShortfallES
5.34$
↓
0.066%
from yesterday
25% Drop Probability25% Drop
9.1%
↓
0.113%
from yesterday
Years Until 25% Drop25% Freq.
11years
↑
0.136%
from yesterday
Model RiskModel Risk
1.31
↑
0.038%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.97 | 4.1 | 3.79 | 3.88 | 4.45 | 4.73 | 4.32 | 1.31 |
| ES | 6.04 | 4.7 | 4.34 | 4.44 | 6.1 | 6.43 | 5.34 | 1.48 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
