Value-at-RiskVaR
6.34$
↓
0.025%
from yesterday
Expected ShortfallES
8.2$
↓
0.028%
from yesterday
25% Drop Probability25% Drop
14.1%
↓
0.047%
from yesterday
Years Until 25% Drop25% Freq.
7.1years
↑
0.024%
from yesterday
Model RiskModel Risk
1.32
↑
0.038%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 6.69 | 6.72 | 5.12 | 6.05 | 6.68 | 6.76 | 6.34 | 1.32 |
| ES | 9.95 | 7.7 | 5.87 | 6.93 | 8.33 | 10.4 | 8.2 | 1.77 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
