Value-at-RiskVaR
7.96$
↑
0.009%
from yesterday
Expected ShortfallES
9.71$
↑
0.01%
from yesterday
25% Drop Probability25% Drop
14.8%
↑
0.014%
from yesterday
Years Until 25% Drop25% Freq.
6.8years
↓
0.006%
from yesterday
Model RiskModel Risk
2.1
↓
0.097%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 10.24 | 8.84 | 4.87 | 6.56 | 7.06 | 10.18 | 7.96 | 2.1 |
| ES | 12.79 | 10.13 | 5.58 | 7.52 | 9.2 | 13.01 | 9.71 | 2.33 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
