Value-at-RiskVaR
2.77$
↑
0.097%
from yesterday
Expected ShortfallES
3.44$
↑
0.113%
from yesterday
25% Drop Probability25% Drop
5.8%
↑
0.198%
from yesterday
Years Until 25% Drop25% Freq.
17.3years
↓
0.61%
from yesterday
Model RiskModel Risk
1.51
↓
0.138%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.31 | 2.54 | 2.2 | 2.61 | 2.83 | 3.14 | 2.77 | 1.51 |
| ES | 4.12 | 2.91 | 2.52 | 2.99 | 3.55 | 4.58 | 3.44 | 1.82 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
