Value-at-RiskVaR
5.18$
↓
0.018%
from yesterday
Expected ShortfallES
6.51$
↓
0.023%
from yesterday
25% Drop Probability25% Drop
10.9%
↓
0.052%
from yesterday
Years Until 25% Drop25% Freq.
9.2years
↑
0.044%
from yesterday
Model RiskModel Risk
2
↑
0.044%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 7.05 | 5.48 | 3.52 | 3.66 | 4.91 | 6.46 | 5.18 | 2 |
| ES | 8.9 | 6.27 | 4.04 | 4.19 | 6.53 | 9.14 | 6.51 | 2.26 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
