Value-at-RiskVaR
5.16$
↓
0.069%
from yesterday
Expected ShortfallES
6.67$
↓
0.079%
from yesterday
25% Drop Probability25% Drop
11.1%
↓
0.128%
from yesterday
Years Until 25% Drop25% Freq.
9years
↑
0.104%
from yesterday
Model RiskModel Risk
1.52
↑
0.075%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 5.76 | 5.31 | 4.39 | 4.12 | 5.11 | 6.26 | 5.16 | 1.52 |
| ES | 8.66 | 6.09 | 5.03 | 4.72 | 6.72 | 8.82 | 6.67 | 1.87 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
