Value-at-RiskVaR
4.61$
↓
0.067%
from yesterday
Expected ShortfallES
5.75$
↓
0.083%
from yesterday
25% Drop Probability25% Drop
9.5%
↓
0.172%
from yesterday
Years Until 25% Drop25% Freq.
10.5years
↑
0.186%
from yesterday
Model RiskModel Risk
1.31
↓
0.029%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.47 | 3.94 | 5.07 | 4.42 | 5.18 | 4.56 | 4.61 | 1.31 |
| ES | 6.08 | 4.52 | 5.81 | 5.06 | 6.88 | 6.14 | 5.75 | 1.52 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
