Value-at-RiskVaR
5.2₿
↓
0.068%
from yesterday
Expected ShortfallES
6.41₿
↓
0.086%
from yesterday
25% Drop Probability25% Drop
11%
↓
0.2%
from yesterday
Years Until 25% Drop25% Freq.
9.1years
↑
0.162%
from yesterday
Model RiskModel Risk
1.75
↑
0.087%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 6.3 | 5.55 | 3.59 | 4.54 | 5.13 | 6.07 | 5.2 | 1.75 |
| ES | 7.4 | 6.36 | 4.11 | 5.21 | 7.48 | 7.88 | 6.41 | 1.92 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
