Value-at-RiskVaR
6.37$
↓
0.073%
from yesterday
Expected ShortfallES
8.24$
↓
0.087%
from yesterday
25% Drop Probability25% Drop
14.2%
↓
0.154%
from yesterday
Years Until 25% Drop25% Freq.
7years
↑
0.076%
from yesterday
Model RiskModel Risk
1.23
↑
0.028%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 6.69 | 6.71 | 5.47 | 6.07 | 6.54 | 6.76 | 6.37 | 1.23 |
| ES | 9.95 | 7.69 | 6.27 | 6.95 | 8.18 | 10.4 | 8.24 | 1.66 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
