Value-at-RiskVaR
4.88$
↓
0.058%
from yesterday
Expected ShortfallES
6.15$
↓
0.071%
from yesterday
25% Drop Probability25% Drop
10.7%
↓
0.14%
from yesterday
Years Until 25% Drop25% Freq.
9.4years
↑
0.121%
from yesterday
Model RiskModel Risk
1.49
↓
0.056%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.33 | 3.89 | 5.52 | 5.28 | 5.78 | 4.44 | 4.87 | 1.49 |
| ES | 6.05 | 4.45 | 6.33 | 6.05 | 7.83 | 6.2 | 6.15 | 1.76 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
