Value-at-RiskVaR
6.24$
↑
0.229%
from yesterday
Expected ShortfallES
8.09$
↑
0.277%
from yesterday
25% Drop Probability25% Drop
13.9%
↑
0.521%
from yesterday
Years Until 25% Drop25% Freq.
7.2years
↓
0.279%
from yesterday
Model RiskModel Risk
1.41
↓
0.03%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 6.69 | 6.71 | 4.79 | 5.96 | 6.53 | 6.76 | 6.24 | 1.41 |
| ES | 9.95 | 7.69 | 5.49 | 6.83 | 8.16 | 10.4 | 8.08 | 1.9 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
