Value-at-RiskVaR
2.25$
↓
0.024%
from yesterday
Expected ShortfallES
2.85$
↓
0.028%
from yesterday
25% Drop Probability25% Drop
4.8%
↓
0.048%
from yesterday
Years Until 25% Drop25% Freq.
21years
↑
0.209%
from yesterday
Model RiskModel Risk
1.75
↑
0.055%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.95 | 2.43 | 1.75 | 1.68 | 1.84 | 2.83 | 2.25 | 1.75 |
| ES | 3.87 | 2.78 | 2 | 1.93 | 2.33 | 4.17 | 2.85 | 2.16 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
