Value-at-RiskVaR
4.04$
↓
0.034%
from yesterday
Expected ShortfallES
5.09$
↓
0.053%
from yesterday
25% Drop Probability25% Drop
9%
↓
0.163%
from yesterday
Years Until 25% Drop25% Freq.
11.1years
↑
0.196%
from yesterday
Model RiskModel Risk
1.28
↓
0.214%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.42 | 3.49 | 3.76 | 3.83 | 4.48 | 4.28 | 4.04 | 1.28 |
| ES | 5.58 | 4 | 4.31 | 4.38 | 6.13 | 6.14 | 5.09 | 1.53 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
