Value-at-RiskVaR
3.76$
↓
0.046%
from yesterday
Expected ShortfallES
4.72$
↓
0.059%
from yesterday
25% Drop Probability25% Drop
8.1%
↓
0.132%
from yesterday
Years Until 25% Drop25% Freq.
12.4years
↑
0.199%
from yesterday
Model RiskModel Risk
1.5
↑
0.001%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.56 | 3.63 | 3.04 | 3.27 | 3.61 | 4.47 | 3.76 | 1.5 |
| ES | 5.76 | 4.16 | 3.48 | 3.75 | 4.94 | 6.25 | 4.72 | 1.79 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
