Value-at-RiskVaR
3.54$
↓
0.06%
from yesterday
Expected ShortfallES
4.24$
↓
0.071%
from yesterday
25% Drop Probability25% Drop
6.5%
↓
0.128%
from yesterday
Years Until 25% Drop25% Freq.
15.4years
↑
0.296%
from yesterday
Model RiskModel Risk
1.34
↑
0.051%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.17 | 3.33 | 3.25 | 3.1 | 3.35 | 4.03 | 3.54 | 1.34 |
| ES | 4.94 | 3.82 | 3.72 | 3.55 | 4.14 | 5.28 | 4.24 | 1.48 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
