Value-at-RiskVaR
7.21₿
↓
0.104%
from yesterday
Expected ShortfallES
9.22₿
↓
0.109%
from yesterday
25% Drop Probability25% Drop
18.1%
↓
0.092%
from yesterday
Years Until 25% Drop25% Freq.
5.5years
↑
0.028%
from yesterday
Model RiskModel Risk
1.92
↑
0.03%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 6.66 | 5.76 | 8.94 | 5.28 | 10.17 | 6.45 | 7.21 | 1.92 |
| ES | 8.32 | 6.6 | 10.24 | 6.05 | 15.52 | 8.6 | 9.22 | 2.57 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
