Value-at-RiskVaR
6.2$
↑
0.04%
from yesterday
Expected ShortfallES
8.04$
↑
0.047%
from yesterday
25% Drop Probability25% Drop
13.8%
↑
0.081%
from yesterday
Years Until 25% Drop25% Freq.
7.2years
↓
0.043%
from yesterday
Model RiskModel Risk
1.32
↓
0.017%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 6.69 | 6.7 | 5.12 | 5.81 | 6.12 | 6.76 | 6.2 | 1.32 |
| ES | 9.95 | 7.67 | 5.87 | 6.66 | 7.67 | 10.4 | 8.04 | 1.77 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
