Value-at-RiskVaR
4.24$
↓
0.056%
from yesterday
Expected ShortfallES
5.21$
↓
0.067%
from yesterday
25% Drop Probability25% Drop
8.6%
↓
0.123%
from yesterday
Years Until 25% Drop25% Freq.
11.6years
↑
0.164%
from yesterday
Model RiskModel Risk
1.42
↑
0.044%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.94 | 4.14 | 3.48 | 3.86 | 4.32 | 4.68 | 4.24 | 1.42 |
| ES | 6.02 | 4.74 | 3.98 | 4.42 | 5.82 | 6.26 | 5.21 | 1.57 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
