Value-at-RiskVaR
3.02$
↓
0.033%
from yesterday
Expected ShortfallES
3.67$
↓
0.038%
from yesterday
25% Drop Probability25% Drop
5.6%
↓
0.062%
from yesterday
Years Until 25% Drop25% Freq.
17.8years
↑
0.195%
from yesterday
Model RiskModel Risk
1.55
↑
0.053%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.71 | 3.19 | 2.5 | 2.4 | 2.62 | 3.69 | 3.02 | 1.55 |
| ES | 4.65 | 3.65 | 2.86 | 2.75 | 3.25 | 4.87 | 3.67 | 1.77 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
