Value-at-RiskVaR
6.08₿
↓
0.092%
from yesterday
Expected ShortfallES
7.78₿
↓
0.135%
from yesterday
25% Drop Probability25% Drop
14.8%
↓
0.414%
from yesterday
Years Until 25% Drop25% Freq.
6.8years
↑
0.184%
from yesterday
Model RiskModel Risk
1.49
↑
0.004%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 6.66 | 5.79 | 5.33 | 4.92 | 7.34 | 6.45 | 6.08 | 1.49 |
| ES | 8.32 | 6.63 | 6.1 | 5.64 | 11.37 | 8.6 | 7.77 | 2.02 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
