Value-at-RiskVaR
3.26$
↓
0.027%
from yesterday
Expected ShortfallES
3.97$
↓
0.032%
from yesterday
25% Drop Probability25% Drop
6.2%
↓
0.056%
from yesterday
Years Until 25% Drop25% Freq.
16years
↑
0.142%
from yesterday
Model RiskModel Risk
1.4
↑
0.03%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.88 | 3.24 | 2.91 | 2.78 | 3 | 3.75 | 3.26 | 1.4 |
| ES | 4.76 | 3.71 | 3.34 | 3.18 | 3.71 | 5.1 | 3.97 | 1.61 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
