Value-at-RiskVaR
2.5C$
↓
0.11%
from yesterday
Expected ShortfallES
3.11C$
↓
0.131%
from yesterday
25% Drop Probability25% Drop
5.2%
↓
0.237%
from yesterday
Years Until 25% Drop25% Freq.
19.4years
↑
0.853%
from yesterday
Model RiskModel Risk
1.45
↓
0.126%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.33 | 2 | 2.91 | 2.53 | 2.86 | 2.37 | 2.5 | 1.45 |
| ES | 3.16 | 2.29 | 3.33 | 2.9 | 3.56 | 3.39 | 3.11 | 1.55 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
