Value-at-RiskVaR
2.02A$
↑
0.039%
from yesterday
Expected ShortfallES
2.45A$
↑
0.046%
from yesterday
25% Drop Probability25% Drop
3.8%
↑
0.083%
from yesterday
Years Until 25% Drop25% Freq.
26.6years
↓
0.602%
from yesterday
Model RiskModel Risk
1.14
↑
0.005%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.04 | 1.84 | 2.05 | 1.99 | 2.1 | 2.1 | 2.02 | 1.14 |
| ES | 2.68 | 2.11 | 2.35 | 2.27 | 2.6 | 2.71 | 2.46 | 1.28 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
