Value-at-RiskVaR
2.94$
↓
0.024%
from yesterday
Expected ShortfallES
3.89$
↓
0.03%
from yesterday
25% Drop Probability25% Drop
6.5%
↓
0.06%
from yesterday
Years Until 25% Drop25% Freq.
15.4years
↑
0.141%
from yesterday
Model RiskModel Risk
1.22
↑
0.023%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.96 | 2.8 | 2.85 | 2.7 | 3.04 | 3.3 | 2.94 | 1.22 |
| ES | 5.01 | 3.21 | 3.26 | 3.1 | 3.93 | 4.83 | 3.89 | 1.62 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
