Value-at-RiskVaR
1.93A$
↓
0.028%
from yesterday
Expected ShortfallES
2.38A$
↓
0.034%
from yesterday
25% Drop Probability25% Drop
3.7%
↓
0.062%
from yesterday
Years Until 25% Drop25% Freq.
27.2years
↑
0.45%
from yesterday
Model RiskModel Risk
1.42
↓
0.061%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.27 | 1.9 | 1.6 | 1.7 | 1.81 | 2.28 | 1.93 | 1.42 |
| ES | 2.99 | 2.18 | 1.84 | 1.95 | 2.23 | 3.09 | 2.38 | 1.68 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
