Value-at-RiskVaR
8.34$
↓
0.013%
from yesterday
Expected ShortfallES
10.14$
↓
0.019%
from yesterday
25% Drop Probability25% Drop
15.3%
↓
0.058%
from yesterday
Years Until 25% Drop25% Freq.
6.5years
↑
0.025%
from yesterday
Model RiskModel Risk
1.55
↓
0.037%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 9.76 | 8.76 | 6.47 | 7.1 | 7.9 | 10.01 | 8.34 | 1.55 |
| ES | 12.47 | 10.04 | 7.41 | 8.14 | 10.2 | 12.58 | 10.14 | 1.7 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
