Value-at-RiskVaR
3$
↓
0.046%
from yesterday
Expected ShortfallES
3.63$
↓
0.055%
from yesterday
25% Drop Probability25% Drop
5.8%
↓
0.102%
from yesterday
Years Until 25% Drop25% Freq.
17.4years
↑
0.303%
from yesterday
Model RiskModel Risk
1.44
↓
0.038%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.79 | 2.4 | 3.45 | 3.16 | 3.46 | 2.76 | 3 | 1.44 |
| ES | 3.48 | 2.75 | 3.96 | 3.62 | 4.37 | 3.59 | 3.63 | 1.59 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
