Value-at-RiskVaR
2.12C$
↓
0.063%
from yesterday
Expected ShortfallES
2.66C$
↓
0.075%
from yesterday
25% Drop Probability25% Drop
4.4%
↓
0.131%
from yesterday
Years Until 25% Drop25% Freq.
22.7years
↑
0.657%
from yesterday
Model RiskModel Risk
1.29
↑
0.105%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.33 | 1.99 | 2.25 | 1.81 | 1.97 | 2.35 | 2.12 | 1.29 |
| ES | 3.16 | 2.28 | 2.58 | 2.08 | 2.45 | 3.41 | 2.66 | 1.64 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
