Value-at-RiskVaR
3.99$
↓
0.054%
from yesterday
Expected ShortfallES
4.94$
↓
0.065%
from yesterday
25% Drop Probability25% Drop
8.3%
↓
0.128%
from yesterday
Years Until 25% Drop25% Freq.
12years
↑
0.181%
from yesterday
Model RiskModel Risk
1.26
↑
0.002%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.56 | 3.63 | 3.89 | 3.66 | 3.79 | 4.42 | 3.99 | 1.26 |
| ES | 5.61 | 4.16 | 4.46 | 4.19 | 5.17 | 6.06 | 4.94 | 1.46 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
