Value-at-RiskVaR
2.47$
↓
0.002%
from yesterday
Expected ShortfallES
3.22$
→
0%
from yesterday
25% Drop Probability25% Drop
6.2%
→
0%
from yesterday
Years Until 25% Drop25% Freq.
16years
→
0%
from yesterday
Model RiskModel Risk
1.49
↓
0.044%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.43 | 2.06 | 3.07 | 2.12 | 2.88 | 2.27 | 2.47 | 1.49 |
| ES | 3.28 | 2.36 | 3.51 | 2.43 | 4.21 | 3.5 | 3.22 | 1.78 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
