Value-at-RiskVaR
3.6$
↓
0.023%
from yesterday
Expected ShortfallES
4.35$
↓
0.029%
from yesterday
25% Drop Probability25% Drop
6.5%
↓
0.06%
from yesterday
Years Until 25% Drop25% Freq.
15.3years
↑
0.14%
from yesterday
Model RiskModel Risk
1.59
↑
0.034%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.33 | 3.9 | 2.74 | 2.99 | 3.3 | 4.35 | 3.6 | 1.59 |
| ES | 5.4 | 4.46 | 3.14 | 3.43 | 4.3 | 5.39 | 4.35 | 1.72 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
