Value-at-RiskVaR
2.55$
↓
0.02%
from yesterday
Expected ShortfallES
3.33$
↓
0.028%
from yesterday
25% Drop Probability25% Drop
6.5%
↓
0.079%
from yesterday
Years Until 25% Drop25% Freq.
15.3years
↑
0.182%
from yesterday
Model RiskModel Risk
1.57
↑
0.064%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.43 | 2.07 | 3.25 | 2.34 | 2.95 | 2.27 | 2.55 | 1.57 |
| ES | 3.28 | 2.37 | 3.72 | 2.68 | 4.41 | 3.5 | 3.33 | 1.86 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
