Value-at-RiskVaR
2.11C$
↑
0.055%
from yesterday
Expected ShortfallES
2.66C$
↑
0.065%
from yesterday
25% Drop Probability25% Drop
4.5%
↑
0.119%
from yesterday
Years Until 25% Drop25% Freq.
22.1years
↓
0.599%
from yesterday
Model RiskModel Risk
1.24
↓
0.035%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.27 | 1.96 | 1.83 | 2.11 | 2.26 | 2.24 | 2.11 | 1.24 |
| ES | 3.07 | 2.24 | 2.1 | 2.42 | 2.81 | 3.34 | 2.66 | 1.59 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
