Value-at-RiskVaR
2.22$
↓
0.023%
from yesterday
Expected ShortfallES
2.72$
↓
0.027%
from yesterday
25% Drop Probability25% Drop
4%
↓
0.048%
from yesterday
Years Until 25% Drop25% Freq.
24.9years
↑
0.294%
from yesterday
Model RiskModel Risk
2.55
↑
0.078%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.31 | 2.59 | 1.3 | 1.42 | 1.48 | 3.23 | 2.22 | 2.55 |
| ES | 4.12 | 2.97 | 1.48 | 1.62 | 1.84 | 4.26 | 2.72 | 2.87 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
