Value-at-RiskVaR
3.87$
↑
0.161%
from yesterday
Expected ShortfallES
4.87$
↑
0.206%
from yesterday
25% Drop Probability25% Drop
8.7%
↑
0.463%
from yesterday
Years Until 25% Drop25% Freq.
11.5years
↓
0.651%
from yesterday
Model RiskModel Risk
1.56
↓
0.049%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.56 | 3.54 | 2.93 | 3.46 | 4.39 | 4.35 | 3.87 | 1.56 |
| ES | 5.61 | 4.06 | 3.36 | 3.97 | 6.04 | 6.21 | 4.87 | 1.85 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
