Value-at-RiskVaR
2.35A$
↓
0.106%
from yesterday
Expected ShortfallES
2.86A$
↓
0.126%
from yesterday
25% Drop Probability25% Drop
4.5%
↓
0.225%
from yesterday
Years Until 25% Drop25% Freq.
22.4years
↑
1.078%
from yesterday
Model RiskModel Risk
1.44
↓
0.148%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.14 | 1.88 | 2.7 | 2.5 | 2.65 | 2.21 | 2.35 | 1.44 |
| ES | 2.88 | 2.15 | 3.09 | 2.87 | 3.25 | 2.91 | 2.86 | 1.51 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
