Value-at-RiskVaR
4.83$
↓
0.034%
from yesterday
Expected ShortfallES
6$
↓
0.039%
from yesterday
25% Drop Probability25% Drop
9.7%
↓
0.064%
from yesterday
Years Until 25% Drop25% Freq.
10.3years
↑
0.067%
from yesterday
Model RiskModel Risk
1.56
↑
0.04%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 5.67 | 5.04 | 3.64 | 4.31 | 4.66 | 5.66 | 4.83 | 1.56 |
| ES | 7.33 | 5.78 | 4.17 | 4.94 | 6.06 | 7.71 | 6 | 1.85 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
