Value-at-RiskVaR
6.39₿
↓
0.078%
from yesterday
Expected ShortfallES
7.97₿
↓
0.104%
from yesterday
25% Drop Probability25% Drop
14.1%
↓
0.257%
from yesterday
Years Until 25% Drop25% Freq.
7.1years
↑
0.127%
from yesterday
Model RiskModel Risk
1.3
↓
0.144%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 6.66 | 5.81 | 5.48 | 6.79 | 7.14 | 6.43 | 6.39 | 1.3 |
| ES | 8.25 | 6.66 | 6.28 | 7.78 | 10.33 | 8.51 | 7.97 | 1.65 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
