Value-at-RiskVaR
2.09A$
↓
0.073%
from yesterday
Expected ShortfallES
2.54A$
↓
0.127%
from yesterday
25% Drop Probability25% Drop
3.9%
↓
0.314%
from yesterday
Years Until 25% Drop25% Freq.
25.6years
↑
1.902%
from yesterday
Model RiskModel Risk
1.23
↓
0.097%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.04 | 1.85 | 2.15 | 2.15 | 2.27 | 2.1 | 2.09 | 1.23 |
| ES | 2.68 | 2.12 | 2.46 | 2.47 | 2.82 | 2.71 | 2.54 | 1.33 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
