Value-at-RiskVaR
3.59$
↑
0.067%
from yesterday
Expected ShortfallES
4.34$
↑
0.082%
from yesterday
25% Drop Probability25% Drop
6.5%
↑
0.156%
from yesterday
Years Until 25% Drop25% Freq.
15.3years
↓
0.376%
from yesterday
Model RiskModel Risk
1.74
↓
0.036%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.33 | 3.9 | 2.51 | 3.05 | 3.4 | 4.35 | 3.59 | 1.74 |
| ES | 5.4 | 4.47 | 2.87 | 3.5 | 4.42 | 5.39 | 4.34 | 1.88 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
