Value-at-RiskVaR
8.7$
↓
0.062%
from yesterday
Expected ShortfallES
10.65$
↓
0.075%
from yesterday
25% Drop Probability25% Drop
16.6%
↓
0.143%
from yesterday
Years Until 25% Drop25% Freq.
6years
↑
0.051%
from yesterday
Model RiskModel Risk
1.62
↑
0.043%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 10.25 | 9.09 | 6.39 | 7.76 | 8.35 | 10.33 | 8.7 | 1.62 |
| ES | 12.99 | 10.41 | 7.33 | 8.9 | 10.88 | 13.37 | 10.65 | 1.83 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
