Value-at-RiskVaR
8.36$
↑
0.135%
from yesterday
Expected ShortfallES
10.18$
↑
0.164%
from yesterday
25% Drop Probability25% Drop
15.6%
↑
0.315%
from yesterday
Years Until 25% Drop25% Freq.
6.4years
↓
0.132%
from yesterday
Model RiskModel Risk
1.79
↓
0.005%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 10.24 | 8.82 | 5.72 | 7.15 | 8.04 | 10.18 | 8.36 | 1.79 |
| ES | 12.79 | 10.1 | 6.55 | 8.19 | 10.42 | 13.01 | 10.18 | 1.98 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
