Value-at-RiskVaR
8.07$
↓
0.063%
from yesterday
Expected ShortfallES
9.83$
↓
0.075%
from yesterday
25% Drop Probability25% Drop
14.9%
↓
0.144%
from yesterday
Years Until 25% Drop25% Freq.
6.7years
↑
0.064%
from yesterday
Model RiskModel Risk
2.05
↑
0.069%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 10.24 | 8.89 | 4.99 | 6.86 | 7.25 | 10.18 | 8.07 | 2.05 |
| ES | 12.79 | 10.19 | 5.72 | 7.86 | 9.39 | 13.01 | 9.83 | 2.27 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
