Value-at-RiskVaR
3.57$
↓
0.075%
from yesterday
Expected ShortfallES
4.66$
↓
0.09%
from yesterday
25% Drop Probability25% Drop
8%
↓
0.164%
from yesterday
Years Until 25% Drop25% Freq.
12.5years
↑
0.252%
from yesterday
Model RiskModel Risk
1.57
↓
0.04%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.96 | 2.78 | 4.36 | 3.77 | 4.28 | 3.29 | 3.57 | 1.57 |
| ES | 5.01 | 3.18 | 4.99 | 4.32 | 5.57 | 4.86 | 4.66 | 1.75 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
