Value-at-RiskVaR
1.93C$
↓
0.045%
from yesterday
Expected ShortfallES
2.4C$
↓
0.054%
from yesterday
25% Drop Probability25% Drop
3.8%
↓
0.094%
from yesterday
Years Until 25% Drop25% Freq.
26.6years
↑
0.647%
from yesterday
Model RiskModel Risk
1.39
↑
0.089%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.27 | 1.95 | 1.74 | 1.63 | 1.73 | 2.28 | 1.93 | 1.39 |
| ES | 3.04 | 2.24 | 1.99 | 1.87 | 2.11 | 3.16 | 2.4 | 1.69 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
