Value-at-RiskVaR
2.35$
↓
0.008%
from yesterday
Expected ShortfallES
3.05$
↓
0.014%
from yesterday
25% Drop Probability25% Drop
5.8%
↓
0.061%
from yesterday
Years Until 25% Drop25% Freq.
17.2years
↑
0.178%
from yesterday
Model RiskModel Risk
1.27
↓
0.033%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.43 | 2.08 | 2.49 | 2.16 | 2.64 | 2.27 | 2.35 | 1.27 |
| ES | 3.28 | 2.38 | 2.86 | 2.47 | 3.9 | 3.4 | 3.05 | 1.64 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
