Value-at-RiskVaR
2.08$
↑
0.031%
from yesterday
Expected ShortfallES
2.67$
↑
0.039%
from yesterday
25% Drop Probability25% Drop
4.6%
↑
0.088%
from yesterday
Years Until 25% Drop25% Freq.
21.7years
↓
0.422%
from yesterday
Model RiskModel Risk
1.32
↑
0.079%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.15 | 2.06 | 1.75 | 2.03 | 2.3 | 2.2 | 2.08 | 1.32 |
| ES | 3.08 | 2.36 | 2 | 2.32 | 3.13 | 3.11 | 2.67 | 1.56 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
