Value-at-RiskVaR
2.01A$
↓
0.016%
from yesterday
Expected ShortfallES
2.48A$
↓
0.019%
from yesterday
25% Drop Probability25% Drop
3.9%
↓
0.038%
from yesterday
Years Until 25% Drop25% Freq.
25.8years
↑
0.251%
from yesterday
Model RiskModel Risk
1.38
↑
0.053%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.1 | 1.88 | 2.37 | 1.71 | 1.85 | 2.16 | 2.01 | 1.38 |
| ES | 2.85 | 2.15 | 2.72 | 1.96 | 2.29 | 2.91 | 2.48 | 1.48 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
