Value-at-RiskVaR
4.61$
↓
0.063%
from yesterday
Expected ShortfallES
5.9$
↓
0.076%
from yesterday
25% Drop Probability25% Drop
9.9%
↓
0.145%
from yesterday
Years Until 25% Drop25% Freq.
10.1years
↑
0.147%
from yesterday
Model RiskModel Risk
1.13
↑
0.001%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.63 | 4.41 | 4.72 | 4.42 | 4.49 | 4.99 | 4.61 | 1.13 |
| ES | 6.89 | 5.05 | 5.41 | 5.07 | 6.05 | 6.94 | 5.9 | 1.38 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
