Value-at-RiskVaR
3.64$
↓
0.03%
from yesterday
Expected ShortfallES
4.41$
↓
0.036%
from yesterday
25% Drop Probability25% Drop
6.7%
↓
0.068%
from yesterday
Years Until 25% Drop25% Freq.
15years
↑
0.151%
from yesterday
Model RiskModel Risk
1.56
↑
0.04%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.33 | 3.92 | 2.8 | 3.04 | 3.36 | 4.38 | 3.64 | 1.56 |
| ES | 5.4 | 4.49 | 3.21 | 3.49 | 4.39 | 5.45 | 4.41 | 1.7 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
