Value-at-RiskVaR
2.43C$
↑
0.096%
from yesterday
Expected ShortfallES
3.03C$
↑
0.114%
from yesterday
25% Drop Probability25% Drop
5%
↑
0.205%
from yesterday
Years Until 25% Drop25% Freq.
19.9years
↓
0.846%
from yesterday
Model RiskModel Risk
1.57
↑
0.15%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.32 | 1.96 | 2.16 | 2.79 | 3.06 | 2.32 | 2.43 | 1.57 |
| ES | 3.15 | 2.24 | 2.48 | 3.19 | 3.79 | 3.33 | 3.03 | 1.69 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
