Value-at-RiskVaR
3.33$
↓
0.029%
from yesterday
Expected ShortfallES
3.99$
↓
0.034%
from yesterday
25% Drop Probability25% Drop
6.1%
↓
0.061%
from yesterday
Years Until 25% Drop25% Freq.
16.5years
↑
0.165%
from yesterday
Model RiskModel Risk
1.57
↑
0.02%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.17 | 3.34 | 2.65 | 2.8 | 2.98 | 4.03 | 3.33 | 1.57 |
| ES | 4.94 | 3.82 | 3.03 | 3.21 | 3.66 | 5.28 | 3.99 | 1.74 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
