Value-at-RiskVaR
5.28$
↓
0.075%
from yesterday
Expected ShortfallES
6.84$
↓
0.087%
from yesterday
25% Drop Probability25% Drop
11.4%
↓
0.141%
from yesterday
Years Until 25% Drop25% Freq.
8.8years
↑
0.107%
from yesterday
Model RiskModel Risk
1.58
↑
0.07%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 5.76 | 5.31 | 4.92 | 3.96 | 5.5 | 6.26 | 5.29 | 1.58 |
| ES | 8.66 | 6.08 | 5.64 | 4.53 | 7.28 | 8.82 | 6.84 | 1.95 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
