Value-at-RiskVaR
6.19$
↑
0.626%
from yesterday
Expected ShortfallES
7.88$
↑
0.754%
from yesterday
25% Drop Probability25% Drop
13.2%
↑
1.431%
from yesterday
Years Until 25% Drop25% Freq.
7.6years
↓
0.918%
from yesterday
Model RiskModel Risk
2.02
↑
0.183%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 5.79 | 5.37 | 4.48 | 9.04 | 6.14 | 6.29 | 6.19 | 2.02 |
| ES | 8.66 | 6.15 | 5.13 | 10.36 | 8.07 | 8.92 | 7.88 | 2.02 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
