Value-at-RiskVaR
5.5$
↓
0.052%
from yesterday
Expected ShortfallES
6.9$
↓
0.062%
from yesterday
25% Drop Probability25% Drop
11.6%
↓
0.117%
from yesterday
Years Until 25% Drop25% Freq.
8.6years
↑
0.086%
from yesterday
Model RiskModel Risk
1.75
↑
0.091%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 7.05 | 5.48 | 4.52 | 4.03 | 5.44 | 6.46 | 5.5 | 1.75 |
| ES | 8.9 | 6.28 | 5.18 | 4.61 | 7.27 | 9.14 | 6.9 | 1.98 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
