Value-at-RiskVaR
2.01C$
↑
0.091%
from yesterday
Expected ShortfallES
2.54C$
↑
0.109%
from yesterday
25% Drop Probability25% Drop
4.3%
↑
0.2%
from yesterday
Years Until 25% Drop25% Freq.
23.3years
↓
1.138%
from yesterday
Model RiskModel Risk
1.33
↓
0.106%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.27 | 1.96 | 1.7 | 1.88 | 2 | 2.24 | 2.01 | 1.33 |
| ES | 3.07 | 2.24 | 1.95 | 2.15 | 2.48 | 3.34 | 2.54 | 1.71 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
