Value-at-RiskVaR
4$
↓
0.052%
from yesterday
Expected ShortfallES
5.03$
↓
0.061%
from yesterday
25% Drop Probability25% Drop
8.3%
↓
0.106%
from yesterday
Years Until 25% Drop25% Freq.
12.1years
↑
0.153%
from yesterday
Model RiskModel Risk
1.33
↑
0.038%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.47 | 3.91 | 3.74 | 3.42 | 3.93 | 4.53 | 4 | 1.33 |
| ES | 6.08 | 4.48 | 4.28 | 3.91 | 5.25 | 6.18 | 5.03 | 1.58 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
