Value-at-RiskVaR
4.9$
↑
0.012%
from yesterday
Expected ShortfallES
6.08$
↑
0.014%
from yesterday
25% Drop Probability25% Drop
9.7%
↑
0.022%
from yesterday
Years Until 25% Drop25% Freq.
10.3years
↓
0.023%
from yesterday
Model RiskModel Risk
1.47
↑
0.013%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 5.71 | 5.11 | 3.96 | 4.18 | 4.63 | 5.81 | 4.9 | 1.47 |
| ES | 7.5 | 5.85 | 4.53 | 4.79 | 6.03 | 7.78 | 6.08 | 1.72 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
