Value-at-RiskVaR
8.15$
↓
0.039%
from yesterday
Expected ShortfallES
9.95$
↓
0.05%
from yesterday
25% Drop Probability25% Drop
15.2%
↓
0.108%
from yesterday
Years Until 25% Drop25% Freq.
6.6years
↑
0.047%
from yesterday
Model RiskModel Risk
1.62
↑
0.001%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 9.76 | 8.65 | 6.12 | 6.81 | 7.62 | 9.93 | 8.15 | 1.62 |
| ES | 12.47 | 9.92 | 7.01 | 7.81 | 9.84 | 12.66 | 9.95 | 1.8 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
