Value-at-RiskVaR
8.31$
↓
0.061%
from yesterday
Expected ShortfallES
10.11$
↓
0.071%
from yesterday
25% Drop Probability25% Drop
15.5%
↓
0.122%
from yesterday
Years Until 25% Drop25% Freq.
6.5years
↑
0.051%
from yesterday
Model RiskModel Risk
1.7
↑
0.043%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 10.24 | 8.81 | 6.03 | 6.88 | 7.69 | 10.18 | 8.31 | 1.7 |
| ES | 12.79 | 10.09 | 6.91 | 7.89 | 9.98 | 13.01 | 10.11 | 1.88 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
