Value-at-RiskVaR
6.73₿
↓
0.142%
from yesterday
Expected ShortfallES
8.57₿
↓
0.191%
from yesterday
25% Drop Probability25% Drop
16.3%
↓
0.493%
from yesterday
Years Until 25% Drop25% Freq.
6.1years
↑
0.179%
from yesterday
Model RiskModel Risk
1.62
↑
0.029%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 6.66 | 5.78 | 7.46 | 5.35 | 8.65 | 6.45 | 6.73 | 1.62 |
| ES | 8.32 | 6.63 | 8.55 | 6.12 | 13.17 | 8.6 | 8.56 | 2.15 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
