Value-at-RiskVaR
2.42$
↑
0.016%
from yesterday
Expected ShortfallES
3.15$
↑
0.027%
from yesterday
25% Drop Probability25% Drop
6.1%
↑
0.093%
from yesterday
Years Until 25% Drop25% Freq.
16.4years
↓
0.253%
from yesterday
Model RiskModel Risk
1.39
↓
0.025%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.43 | 2.07 | 2.89 | 2.11 | 2.75 | 2.27 | 2.42 | 1.39 |
| ES | 3.28 | 2.37 | 3.31 | 2.41 | 4.04 | 3.5 | 3.15 | 1.7 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
