Value-at-RiskVaR
2.8$
↓
0.003%
from yesterday
Expected ShortfallES
3.48$
↓
0.003%
from yesterday
25% Drop Probability25% Drop
5.9%
↓
0.004%
from yesterday
Years Until 25% Drop25% Freq.
17.1years
↑
0.012%
from yesterday
Model RiskModel Risk
1.32
↓
0.014%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.31 | 2.54 | 2.53 | 2.51 | 2.77 | 3.14 | 2.8 | 1.32 |
| ES | 4.12 | 2.91 | 2.9 | 2.88 | 3.49 | 4.58 | 3.48 | 1.59 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
