Value-at-RiskVaR
2.41$
↓
0.048%
from yesterday
Expected ShortfallES
3.12$
↓
0.059%
from yesterday
25% Drop Probability25% Drop
5.9%
↓
0.122%
from yesterday
Years Until 25% Drop25% Freq.
16.9years
↑
0.34%
from yesterday
Model RiskModel Risk
1.34
↓
0.038%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.43 | 2.08 | 2.78 | 2.17 | 2.74 | 2.27 | 2.41 | 1.34 |
| ES | 3.28 | 2.38 | 3.19 | 2.49 | 4 | 3.4 | 3.12 | 1.68 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
