Value-at-RiskVaR
2.21C$
↑
0.008%
from yesterday
Expected ShortfallES
2.76C$
↑
0.009%
from yesterday
25% Drop Probability25% Drop
4.5%
↑
0.019%
from yesterday
Years Until 25% Drop25% Freq.
22years
↓
0.093%
from yesterday
Model RiskModel Risk
1.24
↓
0.038%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.33 | 1.98 | 2.43 | 1.96 | 2.18 | 2.37 | 2.21 | 1.24 |
| ES | 3.16 | 2.26 | 2.79 | 2.25 | 2.71 | 3.39 | 2.76 | 1.51 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
