Value-at-RiskVaR
4.71$
↑
0.301%
from yesterday
Expected ShortfallES
6.03$
↑
0.367%
from yesterday
25% Drop Probability25% Drop
10.2%
↑
0.72%
from yesterday
Years Until 25% Drop25% Freq.
9.8years
↓
0.746%
from yesterday
Model RiskModel Risk
1.41
↑
0.112%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.63 | 4.33 | 3.78 | 5.33 | 5.19 | 4.99 | 4.71 | 1.41 |
| ES | 6.89 | 4.97 | 4.33 | 6.1 | 6.97 | 6.94 | 6.03 | 1.61 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
