Value-at-RiskVaR
5.42$
↑
0.117%
from yesterday
Expected ShortfallES
6.99$
↑
0.135%
from yesterday
25% Drop Probability25% Drop
11.7%
↑
0.222%
from yesterday
Years Until 25% Drop25% Freq.
8.6years
↓
0.166%
from yesterday
Model RiskModel Risk
1.35
↓
0.14%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 5.79 | 5.35 | 4.66 | 4.98 | 5.45 | 6.29 | 5.42 | 1.35 |
| ES | 8.66 | 6.13 | 5.33 | 5.71 | 7.16 | 8.92 | 6.98 | 1.67 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
