Value-at-RiskVaR
3.88$
↑
0.218%
from yesterday
Expected ShortfallES
4.88$
↑
0.286%
from yesterday
25% Drop Probability25% Drop
8.7%
↑
0.671%
from yesterday
Years Until 25% Drop25% Freq.
11.5years
↓
0.968%
from yesterday
Model RiskModel Risk
1.56
↓
0.008%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.56 | 3.57 | 2.91 | 3.45 | 4.44 | 4.35 | 3.88 | 1.56 |
| ES | 5.61 | 4.09 | 3.34 | 3.95 | 6.09 | 6.21 | 4.88 | 1.86 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
