Value-at-RiskVaR
2.19$
↓
0.007%
from yesterday
Expected ShortfallES
2.79$
↓
0.008%
from yesterday
25% Drop Probability25% Drop
4.7%
↓
0.015%
from yesterday
Years Until 25% Drop25% Freq.
21.5years
↑
0.069%
from yesterday
Model RiskModel Risk
1.84
↓
0.012%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.95 | 2.42 | 1.6 | 1.6 | 1.76 | 2.83 | 2.2 | 1.84 |
| ES | 3.87 | 2.77 | 1.84 | 1.84 | 2.22 | 4.17 | 2.79 | 2.27 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
