Value-at-RiskVaR
4.76$
↓
0.068%
from yesterday
Expected ShortfallES
6.08$
↓
0.08%
from yesterday
25% Drop Probability25% Drop
10.2%
↓
0.137%
from yesterday
Years Until 25% Drop25% Freq.
9.8years
↑
0.131%
from yesterday
Model RiskModel Risk
1.22
↓
0.042%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.63 | 4.38 | 5.33 | 4.66 | 4.62 | 4.96 | 4.76 | 1.22 |
| ES | 6.89 | 5.01 | 6.1 | 5.34 | 6.19 | 6.92 | 6.08 | 1.38 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
