Value-at-RiskVaR
5.34$
↑
0.089%
from yesterday
Expected ShortfallES
6.68$
↑
0.107%
from yesterday
25% Drop Probability25% Drop
11.2%
↑
0.195%
from yesterday
Years Until 25% Drop25% Freq.
9years
↓
0.159%
from yesterday
Model RiskModel Risk
1.28
↓
0.074%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 5.37 | 4.99 | 4.58 | 5.84 | 5.72 | 5.51 | 5.34 | 1.28 |
| ES | 7.29 | 5.72 | 5.24 | 6.69 | 7.44 | 7.7 | 6.68 | 1.47 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
