Value-at-RiskVaR
4.17$
↓
0.009%
from yesterday
Expected ShortfallES
5.22$
↓
0.016%
from yesterday
25% Drop Probability25% Drop
8.6%
↓
0.053%
from yesterday
Years Until 25% Drop25% Freq.
11.7years
↑
0.072%
from yesterday
Model RiskModel Risk
1.24
↑
0.038%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.47 | 3.93 | 4.16 | 3.67 | 4.23 | 4.56 | 4.17 | 1.24 |
| ES | 6.08 | 4.5 | 4.77 | 4.21 | 5.65 | 6.14 | 5.22 | 1.46 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
