Value-at-RiskVaR
4.08$
↓
0.019%
from yesterday
Expected ShortfallES
5.33$
↓
0.024%
from yesterday
25% Drop Probability25% Drop
9.3%
↓
0.046%
from yesterday
Years Until 25% Drop25% Freq.
10.7years
↑
0.053%
from yesterday
Model RiskModel Risk
1.5
↓
0.003%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.48 | 4.29 | 3.14 | 3.64 | 4.22 | 4.7 | 4.08 | 1.5 |
| ES | 6.71 | 4.92 | 3.6 | 4.17 | 5.61 | 7 | 5.34 | 1.94 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
