Value-at-RiskVaR
2.7$
↑
0.003%
from yesterday
Expected ShortfallES
3.21$
↑
0.002%
from yesterday
25% Drop Probability25% Drop
4.9%
↓
0.003%
from yesterday
Years Until 25% Drop25% Freq.
20.4years
↑
0.012%
from yesterday
Model RiskModel Risk
1.27
↑
0.048%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.78 | 2.37 | 3.02 | 2.53 | 2.82 | 2.69 | 2.7 | 1.27 |
| ES | 3.3 | 2.72 | 3.46 | 2.9 | 3.53 | 3.38 | 3.22 | 1.3 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
