Value-at-RiskVaR
2.43$
↓
0.007%
from yesterday
Expected ShortfallES
2.96$
↓
0.008%
from yesterday
25% Drop Probability25% Drop
4.4%
↓
0.014%
from yesterday
Years Until 25% Drop25% Freq.
22.5years
↑
0.071%
from yesterday
Model RiskModel Risk
1.89
↓
0.008%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.31 | 2.61 | 1.77 | 1.75 | 1.88 | 3.23 | 2.43 | 1.89 |
| ES | 4.12 | 3 | 2.03 | 2.01 | 2.35 | 4.26 | 2.96 | 2.12 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
