Value-at-RiskVaR
2.43$
↓
0.05%
from yesterday
Expected ShortfallES
3.15$
↓
0.065%
from yesterday
25% Drop Probability25% Drop
6%
↓
0.162%
from yesterday
Years Until 25% Drop25% Freq.
16.6years
↑
0.435%
from yesterday
Model RiskModel Risk
1.37
↓
0.053%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.43 | 2.1 | 2.76 | 2.13 | 2.86 | 2.28 | 2.43 | 1.37 |
| ES | 3.28 | 2.4 | 3.16 | 2.44 | 4.26 | 3.35 | 3.15 | 1.77 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
