Value-at-RiskVaR
8.51$
↓
0.037%
from yesterday
Expected ShortfallES
10.42$
↓
0.044%
from yesterday
25% Drop Probability25% Drop
16.2%
↓
0.087%
from yesterday
Years Until 25% Drop25% Freq.
6.2years
↑
0.033%
from yesterday
Model RiskModel Risk
1.75
↑
0.043%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 10.25 | 9.01 | 5.89 | 7.52 | 8.05 | 10.33 | 8.51 | 1.75 |
| ES | 12.99 | 10.33 | 6.75 | 8.61 | 10.48 | 13.37 | 10.42 | 1.98 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
