Value-at-RiskVaR
3.72$
↑
0.016%
from yesterday
Expected ShortfallES
4.45$
↑
0.019%
from yesterday
25% Drop Probability25% Drop
6.9%
↑
0.029%
from yesterday
Years Until 25% Drop25% Freq.
14.6years
↓
0.062%
from yesterday
Model RiskModel Risk
1.25
↑
0.001%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.17 | 3.34 | 3.44 | 3.54 | 3.78 | 4.03 | 3.72 | 1.25 |
| ES | 4.94 | 3.83 | 3.94 | 4.06 | 4.66 | 5.28 | 4.45 | 1.38 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
