Value-at-RiskVaR
5.04$
↑
1.719%
from yesterday
Expected ShortfallES
6.31$
↑
2.309%
from yesterday
25% Drop Probability25% Drop
11%
↑
4.575%
from yesterday
Years Until 25% Drop25% Freq.
9.1years
↓
6.494%
from yesterday
Model RiskModel Risk
3.53
↑
1.852%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.8 | 2.6 | 4.07 | 9.16 | 8.67 | 2.95 | 5.04 | 3.53 |
| ES | 4.41 | 2.98 | 4.66 | 10.49 | 11.14 | 4.19 | 6.31 | 3.75 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
