Value-at-RiskVaR
5.59₿
↓
0.053%
from yesterday
Expected ShortfallES
6.95₿
↓
0.069%
from yesterday
25% Drop Probability25% Drop
12.5%
↓
0.17%
from yesterday
Years Until 25% Drop25% Freq.
8years
↑
0.108%
from yesterday
Model RiskModel Risk
1.34
↑
0.018%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 6.3 | 5.56 | 4.69 | 4.71 | 6.2 | 6.07 | 5.59 | 1.34 |
| ES | 7.4 | 6.37 | 5.38 | 5.4 | 9.25 | 7.88 | 6.95 | 1.72 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
