Value-at-RiskVaR
3.2$
↑
0.083%
from yesterday
Expected ShortfallES
3.79$
↑
0.095%
from yesterday
25% Drop Probability25% Drop
5.5%
↑
0.153%
from yesterday
Years Until 25% Drop25% Freq.
18.3years
↓
0.529%
from yesterday
Model RiskModel Risk
1.92
↓
0.471%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.17 | 3.44 | 2.16 | 2.59 | 2.72 | 4.1 | 3.2 | 1.92 |
| ES | 4.94 | 3.95 | 2.48 | 2.97 | 3.33 | 5.1 | 3.79 | 2.05 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
