Value-at-RiskVaR
4.55$
↓
0.061%
from yesterday
Expected ShortfallES
5.71$
↓
0.072%
from yesterday
25% Drop Probability25% Drop
9.6%
↓
0.124%
from yesterday
Years Until 25% Drop25% Freq.
10.4years
↑
0.132%
from yesterday
Model RiskModel Risk
1.31
↓
0.033%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.47 | 3.88 | 4.83 | 4.55 | 5.09 | 4.49 | 4.55 | 1.31 |
| ES | 6.08 | 4.45 | 5.53 | 5.22 | 6.85 | 6.13 | 5.71 | 1.54 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
