Value-at-RiskVaR
2.04$
↓
0.022%
from yesterday
Expected ShortfallES
2.62$
↓
0.027%
from yesterday
25% Drop Probability25% Drop
4.5%
↓
0.057%
from yesterday
Years Until 25% Drop25% Freq.
22.3years
↑
0.28%
from yesterday
Model RiskModel Risk
1.24
↑
0.022%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.13 | 2.03 | 1.79 | 1.94 | 2.21 | 2.15 | 2.04 | 1.24 |
| ES | 3.07 | 2.33 | 2.05 | 2.22 | 3.04 | 3.01 | 2.62 | 1.5 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
