Value-at-RiskVaR
5.23$
↓
0.027%
from yesterday
Expected ShortfallES
6.63$
↓
0.051%
from yesterday
25% Drop Probability25% Drop
11.1%
↓
0.192%
from yesterday
Years Until 25% Drop25% Freq.
9years
↑
0.153%
from yesterday
Model RiskModel Risk
1.39
↓
0.145%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.54 | 4.36 | 6 | 5.49 | 6.08 | 4.91 | 5.23 | 1.39 |
| ES | 6.81 | 5 | 6.88 | 6.28 | 8.08 | 6.72 | 6.63 | 1.62 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
