Value-at-RiskVaR
1.9$
↓
0.009%
from yesterday
Expected ShortfallES
2.45$
↓
0.012%
from yesterday
25% Drop Probability25% Drop
4.2%
↓
0.031%
from yesterday
Years Until 25% Drop25% Freq.
24.1years
↑
0.178%
from yesterday
Model RiskModel Risk
1.78
↑
0.062%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.15 | 2.05 | 1.24 | 1.84 | 1.93 | 2.2 | 1.9 | 1.78 |
| ES | 3.08 | 2.35 | 1.42 | 2.11 | 2.61 | 3.11 | 2.45 | 2.19 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
