Value-at-RiskVaR
1.72A$
↓
0.026%
from yesterday
Expected ShortfallES
2.13A$
↓
0.03%
from yesterday
25% Drop Probability25% Drop
3.2%
↓
0.053%
from yesterday
Years Until 25% Drop25% Freq.
31.3years
↑
0.512%
from yesterday
Model RiskModel Risk
1.87
↓
0.027%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.1 | 1.86 | 1.17 | 1.45 | 1.57 | 2.19 | 1.72 | 1.87 |
| ES | 2.87 | 2.13 | 1.34 | 1.66 | 1.92 | 2.88 | 2.13 | 2.15 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
