Value-at-RiskVaR
5.54$
↓
0.108%
from yesterday
Expected ShortfallES
7.12$
↓
0.125%
from yesterday
25% Drop Probability25% Drop
11.8%
↓
0.204%
from yesterday
Years Until 25% Drop25% Freq.
8.5years
↑
0.144%
from yesterday
Model RiskModel Risk
1.28
↓
0.118%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 5.76 | 5.32 | 4.9 | 5.59 | 5.44 | 6.26 | 5.54 | 1.28 |
| ES | 8.66 | 6.09 | 5.61 | 6.41 | 7.14 | 8.82 | 7.12 | 1.57 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
