Value-at-RiskVaR
4.44$
↓
0.044%
from yesterday
Expected ShortfallES
5.76$
↓
0.056%
from yesterday
25% Drop Probability25% Drop
10.1%
↓
0.119%
from yesterday
Years Until 25% Drop25% Freq.
9.9years
↑
0.116%
from yesterday
Model RiskModel Risk
1.26
↓
0.317%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.48 | 4.3 | 3.83 | 4.52 | 4.83 | 4.7 | 4.44 | 1.26 |
| ES | 6.71 | 4.92 | 4.39 | 5.18 | 6.38 | 7 | 5.76 | 1.59 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
