Value-at-RiskVaR
2.37$
↓
0.023%
from yesterday
Expected ShortfallES
2.89$
↓
0.028%
from yesterday
25% Drop Probability25% Drop
4.3%
↓
0.051%
from yesterday
Years Until 25% Drop25% Freq.
23.2years
↑
0.27%
from yesterday
Model RiskModel Risk
2.06
↑
0.062%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.31 | 2.61 | 1.6 | 1.67 | 1.78 | 3.23 | 2.37 | 2.06 |
| ES | 4.12 | 2.99 | 1.84 | 1.92 | 2.21 | 4.26 | 2.89 | 2.32 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
