Value-at-RiskVaR
2.84$
↓
0.056%
from yesterday
Expected ShortfallES
3.37$
↓
0.066%
from yesterday
25% Drop Probability25% Drop
5.2%
↓
0.118%
from yesterday
Years Until 25% Drop25% Freq.
19.3years
↑
0.43%
from yesterday
Model RiskModel Risk
1.45
↓
0.039%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.78 | 2.37 | 3.43 | 2.72 | 3.05 | 2.69 | 2.84 | 1.45 |
| ES | 3.3 | 2.72 | 3.93 | 3.12 | 3.8 | 3.38 | 3.38 | 1.44 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
