Value-at-RiskVaR
2.57$
↓
0.003%
from yesterday
Expected ShortfallES
3.24$
↓
0.005%
from yesterday
25% Drop Probability25% Drop
5.5%
↓
0.013%
from yesterday
Years Until 25% Drop25% Freq.
18.2years
↑
0.043%
from yesterday
Model RiskModel Risk
1.18
↓
0.012%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.73 | 2.38 | 2.35 | 2.54 | 2.78 | 2.66 | 2.58 | 1.18 |
| ES | 3.69 | 2.73 | 2.69 | 2.91 | 3.53 | 3.9 | 3.24 | 1.45 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
