Value-at-RiskVaR
3.9¥
↑
0.002%
from yesterday
Expected ShortfallES
5.08¥
↓
0.003%
from yesterday
25% Drop Probability25% Drop
9.2%
↓
0.032%
from yesterday
Years Until 25% Drop25% Freq.
10.9years
↑
0.038%
from yesterday
Model RiskModel Risk
1.81
↓
0.078%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.29 | 2.86 | 3.82 | 4.96 | 5.19 | 3.28 | 3.9 | 1.81 |
| ES | 5.23 | 3.28 | 4.38 | 5.68 | 6.43 | 5.48 | 5.08 | 1.96 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
