Value-at-RiskVaR
3.26$
↓
0.037%
from yesterday
Expected ShortfallES
3.87$
↓
0.044%
from yesterday
25% Drop Probability25% Drop
5.6%
↓
0.078%
from yesterday
Years Until 25% Drop25% Freq.
18years
↑
0.249%
from yesterday
Model RiskModel Risk
1.67
↑
0.049%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.17 | 3.47 | 2.49 | 2.59 | 2.75 | 4.1 | 3.26 | 1.67 |
| ES | 4.94 | 3.98 | 2.86 | 2.96 | 3.35 | 5.1 | 3.86 | 1.78 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
