Value-at-RiskVaR
3.94$
↓
0.058%
from yesterday
Expected ShortfallES
4.88$
↓
0.073%
from yesterday
25% Drop Probability25% Drop
8%
↓
0.149%
from yesterday
Years Until 25% Drop25% Freq.
12.4years
↑
0.227%
from yesterday
Model RiskModel Risk
1.3
↑
0.03%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.6 | 3.66 | 3.63 | 3.55 | 3.63 | 4.57 | 3.94 | 1.3 |
| ES | 5.78 | 4.19 | 4.15 | 4.07 | 4.97 | 6.08 | 4.88 | 1.49 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
