Value-at-RiskVaR
6.16$
↓
0.067%
from yesterday
Expected ShortfallES
7.99$
↓
0.079%
from yesterday
25% Drop Probability25% Drop
13.7%
↓
0.139%
from yesterday
Years Until 25% Drop25% Freq.
7.3years
↑
0.073%
from yesterday
Model RiskModel Risk
1.35
↑
0.013%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 6.69 | 6.72 | 5 | 5.74 | 6.08 | 6.76 | 6.17 | 1.35 |
| ES | 9.95 | 7.69 | 5.73 | 6.58 | 7.59 | 10.4 | 7.99 | 1.82 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
