Value-at-RiskVaR
4.33$
↓
0.028%
from yesterday
Expected ShortfallES
5.58$
↓
0.036%
from yesterday
25% Drop Probability25% Drop
9.3%
↓
0.081%
from yesterday
Years Until 25% Drop25% Freq.
10.7years
↑
0.092%
from yesterday
Model RiskModel Risk
1.36
↑
0.038%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.63 | 4.34 | 3.68 | 3.91 | 4.44 | 4.99 | 4.33 | 1.36 |
| ES | 6.89 | 4.97 | 4.21 | 4.48 | 6 | 6.94 | 5.58 | 1.65 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
