Value-at-RiskVaR
4.22$
↓
0.08%
from yesterday
Expected ShortfallES
5.42$
↓
0.094%
from yesterday
25% Drop Probability25% Drop
9.4%
↓
0.168%
from yesterday
Years Until 25% Drop25% Freq.
10.7years
↑
0.188%
from yesterday
Model RiskModel Risk
2.04
↓
0.031%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.96 | 2.78 | 5.67 | 5.11 | 5.49 | 3.29 | 4.22 | 2.04 |
| ES | 5.01 | 3.18 | 6.49 | 5.85 | 7.13 | 4.86 | 5.42 | 2.24 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
