Value-at-RiskVaR
4.19$
↑
0.12%
from yesterday
Expected ShortfallES
5.27$
↑
0.141%
from yesterday
25% Drop Probability25% Drop
8.8%
↑
0.247%
from yesterday
Years Until 25% Drop25% Freq.
11.4years
↓
0.331%
from yesterday
Model RiskModel Risk
1.21
↓
0.193%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.47 | 3.91 | 3.75 | 4.02 | 4.46 | 4.53 | 4.19 | 1.21 |
| ES | 6.08 | 4.48 | 4.29 | 4.61 | 5.97 | 6.18 | 5.27 | 1.44 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
