Value-at-RiskVaR
2.46$
↓
0.007%
from yesterday
Expected ShortfallES
3.11$
↓
0.008%
from yesterday
25% Drop Probability25% Drop
5.2%
↓
0.013%
from yesterday
Years Until 25% Drop25% Freq.
19.2years
↑
0.048%
from yesterday
Model RiskModel Risk
1.48
↓
0.003%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.99 | 2.47 | 2.1 | 2.03 | 2.22 | 2.92 | 2.46 | 1.48 |
| ES | 3.99 | 2.83 | 2.4 | 2.32 | 2.8 | 4.28 | 3.11 | 1.84 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
