Value-at-RiskVaR
4.1$
↑
0.006%
from yesterday
Expected ShortfallES
5.14$
↓
0.004%
from yesterday
25% Drop Probability25% Drop
9.1%
↓
0.068%
from yesterday
Years Until 25% Drop25% Freq.
10.9years
↑
0.081%
from yesterday
Model RiskModel Risk
1.27
↓
0.178%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.56 | 3.58 | 3.84 | 3.73 | 4.55 | 4.35 | 4.1 | 1.27 |
| ES | 5.61 | 4.11 | 4.39 | 4.27 | 6.27 | 6.21 | 5.14 | 1.53 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
