Value-at-RiskVaR
5.1$
↓
0.019%
from yesterday
Expected ShortfallES
6.48$
↓
0.023%
from yesterday
25% Drop Probability25% Drop
10.9%
↓
0.043%
from yesterday
Years Until 25% Drop25% Freq.
9.2years
↑
0.036%
from yesterday
Model RiskModel Risk
1.37
↓
0.015%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.63 | 4.37 | 6.01 | 5.38 | 5.26 | 4.96 | 5.1 | 1.37 |
| ES | 6.89 | 5.01 | 6.88 | 6.17 | 7.04 | 6.92 | 6.48 | 1.4 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
