Value-at-RiskVaR
4.11$
↓
0.076%
from yesterday
Expected ShortfallES
5.09$
↓
0.099%
from yesterday
25% Drop Probability25% Drop
8.7%
↓
0.228%
from yesterday
Years Until 25% Drop25% Freq.
11.5years
↑
0.294%
from yesterday
Model RiskModel Risk
1.26
↓
0.023%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.56 | 3.62 | 3.9 | 3.79 | 4.37 | 4.42 | 4.11 | 1.26 |
| ES | 5.61 | 4.15 | 4.47 | 4.34 | 5.95 | 6.06 | 5.09 | 1.46 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
