Value-at-RiskVaR
3.92$
↓
0.01%
from yesterday
Expected ShortfallES
4.91$
↓
0.015%
from yesterday
25% Drop Probability25% Drop
8.6%
↓
0.048%
from yesterday
Years Until 25% Drop25% Freq.
11.6years
↑
0.064%
from yesterday
Model RiskModel Risk
1.29
↓
0.004%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.56 | 3.57 | 3.54 | 3.53 | 3.96 | 4.35 | 3.92 | 1.29 |
| ES | 5.61 | 4.1 | 4.06 | 4.05 | 5.44 | 6.21 | 4.91 | 1.53 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
