Value-at-RiskVaR
1.71A$
↑
0.012%
from yesterday
Expected ShortfallES
2.12A$
↑
0.013%
from yesterday
25% Drop Probability25% Drop
3.2%
↑
0.023%
from yesterday
Years Until 25% Drop25% Freq.
31.5years
↓
0.23%
from yesterday
Model RiskModel Risk
1.76
↑
0.001%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.1 | 1.86 | 1.24 | 1.39 | 1.5 | 2.19 | 1.71 | 1.76 |
| ES | 2.87 | 2.13 | 1.42 | 1.59 | 1.84 | 2.88 | 2.12 | 2.02 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
