Value-at-RiskVaR
2.1$
↑
0.002%
from yesterday
Expected ShortfallES
2.69$
→
0%
from yesterday
25% Drop Probability25% Drop
4.6%
↓
0.018%
from yesterday
Years Until 25% Drop25% Freq.
21.7years
↑
0.085%
from yesterday
Model RiskModel Risk
1.21
↓
0.05%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.13 | 2.04 | 1.91 | 2.05 | 2.31 | 2.16 | 2.1 | 1.21 |
| ES | 3.07 | 2.34 | 2.18 | 2.35 | 3.14 | 3.04 | 2.69 | 1.44 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
