Value-at-RiskVaR
3.84$
↓
0.022%
from yesterday
Expected ShortfallES
4.82$
↓
0.032%
from yesterday
25% Drop Probability25% Drop
8.4%
↓
0.086%
from yesterday
Years Until 25% Drop25% Freq.
11.8years
↑
0.12%
from yesterday
Model RiskModel Risk
1.4
↓
0.107%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.56 | 3.51 | 3.26 | 3.46 | 3.92 | 4.35 | 3.84 | 1.4 |
| ES | 5.61 | 4.02 | 3.74 | 3.97 | 5.36 | 6.21 | 4.82 | 1.66 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
