Value-at-RiskVaR
2.12A$
↑
0.309%
from yesterday
Expected ShortfallES
2.58A$
↑
0.357%
from yesterday
25% Drop Probability25% Drop
3.9%
↑
0.572%
from yesterday
Years Until 25% Drop25% Freq.
25.4years
↓
4.32%
from yesterday
Model RiskModel Risk
2.05
↑
0.435%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.1 | 1.85 | 1.32 | 2.61 | 2.7 | 2.16 | 2.12 | 2.05 |
| ES | 2.79 | 2.12 | 1.51 | 2.99 | 3.29 | 2.79 | 2.58 | 2.18 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
