Value-at-RiskVaR
2.48$
↓
0.012%
from yesterday
Expected ShortfallES
3.02$
↓
0.014%
from yesterday
25% Drop Probability25% Drop
4.6%
↓
0.022%
from yesterday
Years Until 25% Drop25% Freq.
21.8years
↑
0.104%
from yesterday
Model RiskModel Risk
1.89
↑
0.047%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.31 | 2.57 | 1.75 | 1.92 | 2.08 | 3.23 | 2.48 | 1.89 |
| ES | 4.12 | 2.94 | 2.01 | 2.2 | 2.62 | 4.26 | 3.02 | 2.12 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
