Value-at-RiskVaR
5.98$
↓
0.03%
from yesterday
Expected ShortfallES
7.87$
↓
0.035%
from yesterday
25% Drop Probability25% Drop
14.3%
↓
0.058%
from yesterday
Years Until 25% Drop25% Freq.
7years
↑
0.028%
from yesterday
Model RiskModel Risk
1.33
↓
0.007%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 6.69 | 6.68 | 5.51 | 5.31 | 5.05 | 6.65 | 5.98 | 1.33 |
| ES | 9.95 | 7.66 | 6.32 | 6.08 | 6.32 | 10.91 | 7.87 | 1.79 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
