Value-at-RiskVaR
4.18$
↓
0.007%
from yesterday
Expected ShortfallES
5.45$
↓
0.008%
from yesterday
25% Drop Probability25% Drop
9.5%
↓
0.007%
from yesterday
Years Until 25% Drop25% Freq.
10.5years
↑
0.008%
from yesterday
Model RiskModel Risk
1.39
↑
0.039%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.48 | 4.3 | 3.37 | 3.84 | 4.38 | 4.7 | 4.18 | 1.39 |
| ES | 6.71 | 4.93 | 3.87 | 4.4 | 5.79 | 7 | 5.45 | 1.81 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
