Value-at-RiskVaR
3.34$
↓
0.057%
from yesterday
Expected ShortfallES
4.37$
↓
0.07%
from yesterday
25% Drop Probability25% Drop
7.4%
↓
0.137%
from yesterday
Years Until 25% Drop25% Freq.
13.4years
↑
0.243%
from yesterday
Model RiskModel Risk
1.41
↓
0.006%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.96 | 2.78 | 3.93 | 3.29 | 3.77 | 3.29 | 3.34 | 1.41 |
| ES | 5.01 | 3.19 | 4.5 | 3.77 | 4.9 | 4.86 | 4.37 | 1.57 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
