Value-at-RiskVaR
6.61$
↑
0.074%
from yesterday
Expected ShortfallES
8.53$
↑
0.091%
from yesterday
25% Drop Probability25% Drop
14.7%
↑
0.18%
from yesterday
Years Until 25% Drop25% Freq.
6.8years
↓
0.084%
from yesterday
Model RiskModel Risk
1.35
↑
0.089%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 6.69 | 6.7 | 5.52 | 6.53 | 7.44 | 6.76 | 6.61 | 1.35 |
| ES | 9.95 | 7.68 | 6.33 | 7.49 | 9.31 | 10.4 | 8.52 | 1.64 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
