Value-at-RiskVaR
6.66$
↓
0.094%
from yesterday
Expected ShortfallES
8.55$
↓
0.111%
from yesterday
25% Drop Probability25% Drop
14.6%
↓
0.197%
from yesterday
Years Until 25% Drop25% Freq.
6.8years
↑
0.091%
from yesterday
Model RiskModel Risk
1.22
↑
0.005%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 6.69 | 6.72 | 7.22 | 6.67 | 5.91 | 6.75 | 6.66 | 1.22 |
| ES | 9.95 | 7.7 | 8.27 | 7.64 | 7.38 | 10.38 | 8.55 | 1.41 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
