Value-at-RiskVaR
4.49$
↓
0.089%
from yesterday
Expected ShortfallES
5.63$
↓
0.105%
from yesterday
25% Drop Probability25% Drop
9.6%
↓
0.181%
from yesterday
Years Until 25% Drop25% Freq.
10.4years
↑
0.193%
from yesterday
Model RiskModel Risk
2.45
↓
0.075%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.83 | 2.65 | 6.47 | 5.86 | 6.19 | 2.98 | 4.49 | 2.45 |
| ES | 4.43 | 3.03 | 7.42 | 6.71 | 7.99 | 4.21 | 5.63 | 2.64 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
