Value-at-RiskVaR
2.98$
→
0%
from yesterday
Expected ShortfallES
3.54$
↓
0.001%
from yesterday
25% Drop Probability25% Drop
5%
↓
0.002%
from yesterday
Years Until 25% Drop25% Freq.
20years
↑
0.008%
from yesterday
Model RiskModel Risk
2.16
↑
0.046%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.17 | 3.46 | 1.93 | 2.07 | 2.18 | 4.1 | 2.98 | 2.16 |
| ES | 4.94 | 3.96 | 2.21 | 2.37 | 2.67 | 5.1 | 3.54 | 2.31 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
