Value-at-RiskVaR
4.03$
↓
0.054%
from yesterday
Expected ShortfallES
5.13$
↓
0.062%
from yesterday
25% Drop Probability25% Drop
8.7%
↓
0.1%
from yesterday
Years Until 25% Drop25% Freq.
11.5years
↑
0.131%
from yesterday
Model RiskModel Risk
1.24
↑
0.038%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.33 | 3.85 | 3.85 | 3.57 | 4.19 | 4.41 | 4.03 | 1.24 |
| ES | 6.05 | 4.41 | 4.41 | 4.09 | 5.67 | 6.15 | 5.13 | 1.51 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
