Value-at-RiskVaR
3.05$
↓
0.052%
from yesterday
Expected ShortfallES
4.02$
↓
0.062%
from yesterday
25% Drop Probability25% Drop
6.8%
↓
0.11%
from yesterday
Years Until 25% Drop25% Freq.
14.8years
↑
0.237%
from yesterday
Model RiskModel Risk
1.19
↓
0.024%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.96 | 2.79 | 3.29 | 2.78 | 3.2 | 3.3 | 3.05 | 1.19 |
| ES | 5.01 | 3.2 | 3.77 | 3.19 | 4.16 | 4.83 | 4.02 | 1.57 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
