Value-at-RiskVaR
3.99$
↓
0.028%
from yesterday
Expected ShortfallES
4.9$
↓
0.033%
from yesterday
25% Drop Probability25% Drop
8%
↓
0.06%
from yesterday
Years Until 25% Drop25% Freq.
12.5years
↑
0.092%
from yesterday
Model RiskModel Risk
1.46
↓
0.014%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.8 | 3.97 | 3.28 | 3.45 | 3.93 | 4.5 | 3.99 | 1.46 |
| ES | 5.82 | 4.55 | 3.76 | 3.95 | 5.38 | 5.92 | 4.9 | 1.57 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
