Value-at-RiskVaR
2.38A$
↑
0.034%
from yesterday
Expected ShortfallES
2.91A$
↑
0.044%
from yesterday
25% Drop Probability25% Drop
4.6%
↑
0.071%
from yesterday
Years Until 25% Drop25% Freq.
21.9years
↓
0.347%
from yesterday
Model RiskModel Risk
1.47
↓
0.001%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.1 | 1.89 | 2.66 | 2.68 | 2.79 | 2.19 | 2.38 | 1.47 |
| ES | 2.87 | 2.17 | 3.04 | 3.07 | 3.43 | 2.9 | 2.91 | 1.58 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
