Value-at-RiskVaR
1.99C$
↓
0.008%
from yesterday
Expected ShortfallES
2.52C$
↑
0.028%
from yesterday
25% Drop Probability25% Drop
4.3%
↑
0.296%
from yesterday
Years Until 25% Drop25% Freq.
23.5years
↓
1.76%
from yesterday
Model RiskModel Risk
1.33
↓
0.038%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.27 | 1.96 | 1.93 | 1.7 | 1.85 | 2.24 | 1.99 | 1.33 |
| ES | 3.07 | 2.24 | 2.22 | 1.95 | 2.3 | 3.34 | 2.52 | 1.71 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
