Value-at-RiskVaR
2.71$
↑
0.323%
from yesterday
Expected ShortfallES
3.52$
↑
0.423%
from yesterday
25% Drop Probability25% Drop
6.9%
↑
1.004%
from yesterday
Years Until 25% Drop25% Freq.
14.5years
↓
2.462%
from yesterday
Model RiskModel Risk
1.79
↑
0.441%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.43 | 2.07 | 2.7 | 3.06 | 3.7 | 2.31 | 2.71 | 1.79 |
| ES | 3.28 | 2.37 | 3.09 | 3.5 | 5.42 | 3.45 | 3.52 | 2.28 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
