Value-at-RiskVaR
4.94$
↓
0.085%
from yesterday
Expected ShortfallES
6.31$
↓
0.107%
from yesterday
25% Drop Probability25% Drop
10.7%
↓
0.229%
from yesterday
Years Until 25% Drop25% Freq.
9.4years
↑
0.197%
from yesterday
Model RiskModel Risk
1.26
↓
0.016%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.63 | 4.39 | 5.51 | 4.96 | 5.17 | 4.99 | 4.94 | 1.26 |
| ES | 6.89 | 5.03 | 6.32 | 5.69 | 6.98 | 6.94 | 6.31 | 1.39 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
