Value-at-RiskVaR
5.97₿
↓
0.076%
from yesterday
Expected ShortfallES
7.58₿
↓
0.104%
from yesterday
25% Drop Probability25% Drop
14%
↓
0.285%
from yesterday
Years Until 25% Drop25% Freq.
7.1years
↑
0.142%
from yesterday
Model RiskModel Risk
1.38
↑
0.014%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 6.66 | 5.82 | 4.97 | 5.09 | 6.84 | 6.45 | 5.97 | 1.38 |
| ES | 8.32 | 6.66 | 5.69 | 5.83 | 10.4 | 8.6 | 7.58 | 1.83 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
