Value-at-RiskVaR
5.94$
↑
0.017%
from yesterday
Expected ShortfallES
7.73$
↑
0.02%
from yesterday
25% Drop Probability25% Drop
13.3%
↑
0.033%
from yesterday
Years Until 25% Drop25% Freq.
7.5years
↓
0.019%
from yesterday
Model RiskModel Risk
1.66
↑
0.018%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 6.69 | 6.69 | 4.08 | 5.4 | 5.99 | 6.76 | 5.93 | 1.66 |
| ES | 9.95 | 7.67 | 4.68 | 6.18 | 7.51 | 10.4 | 7.73 | 2.22 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
