Value-at-RiskVaR
3.22$
↑
0.02%
from yesterday
Expected ShortfallES
3.86$
↑
0.024%
from yesterday
25% Drop Probability25% Drop
5.8%
↑
0.041%
from yesterday
Years Until 25% Drop25% Freq.
17.1years
↓
0.121%
from yesterday
Model RiskModel Risk
1.78
↑
0.001%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.17 | 3.37 | 2.34 | 2.62 | 2.79 | 4.03 | 3.22 | 1.78 |
| ES | 4.94 | 3.86 | 2.68 | 3 | 3.42 | 5.28 | 3.86 | 1.97 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
