Value-at-RiskVaR
5.87$
↑
0.005%
from yesterday
Expected ShortfallES
7.76$
↑
0.004%
from yesterday
25% Drop Probability25% Drop
14.2%
↓
0.004%
from yesterday
Years Until 25% Drop25% Freq.
7.1years
↑
0.002%
from yesterday
Model RiskModel Risk
1.59
↓
0.063%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 6.69 | 6.67 | 4.2 | 5.29 | 5.74 | 6.65 | 5.87 | 1.59 |
| ES | 9.95 | 7.64 | 4.81 | 6.06 | 7.2 | 10.91 | 7.76 | 2.27 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
