Value-at-RiskVaR
4.54$
↑
0.032%
from yesterday
Expected ShortfallES
5.8$
↑
0.019%
from yesterday
25% Drop Probability25% Drop
10.1%
↓
0.095%
from yesterday
Years Until 25% Drop25% Freq.
9.9years
↑
0.092%
from yesterday
Model RiskModel Risk
2.23
↑
0.018%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.96 | 2.78 | 6.07 | 5.91 | 6.2 | 3.29 | 4.54 | 2.23 |
| ES | 5.01 | 3.18 | 6.96 | 6.78 | 8.04 | 4.86 | 5.8 | 2.53 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
