Value-at-RiskVaR
5.7$
↓
0.012%
from yesterday
Expected ShortfallES
7.44$
↓
0.013%
from yesterday
25% Drop Probability25% Drop
12.8%
↓
0.022%
from yesterday
Years Until 25% Drop25% Freq.
7.8years
↑
0.013%
from yesterday
Model RiskModel Risk
1.67
↑
0.032%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 6.69 | 6.68 | 4.04 | 4.96 | 5.04 | 6.76 | 5.69 | 1.67 |
| ES | 9.95 | 7.66 | 4.63 | 5.68 | 6.32 | 10.4 | 7.44 | 2.25 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
