Value-at-RiskVaR
8.06$
↓
0.048%
from yesterday
Expected ShortfallES
9.88$
↓
0.059%
from yesterday
25% Drop Probability25% Drop
15.3%
↓
0.114%
from yesterday
Years Until 25% Drop25% Freq.
6.6years
↑
0.049%
from yesterday
Model RiskModel Risk
1.65
↑
0.027%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 9.76 | 8.57 | 5.97 | 6.7 | 7.54 | 9.83 | 8.06 | 1.65 |
| ES | 12.47 | 9.82 | 6.83 | 7.67 | 9.76 | 12.72 | 9.88 | 1.86 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
