Value-at-RiskVaR
3.76₫
↓
0.02%
from yesterday
Expected ShortfallES
4.76₫
↓
0.027%
from yesterday
25% Drop Probability25% Drop
8.5%
↓
0.059%
from yesterday
Years Until 25% Drop25% Freq.
11.7years
↑
0.081%
from yesterday
Model RiskModel Risk
1.8
↓
0.036%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.91 | 3.09 | 2.72 | 3.36 | 3.85 | 4.65 | 3.76 | 1.8 |
| ES | 5.96 | 3.54 | 3.12 | 3.85 | 5.59 | 6.48 | 4.76 | 2.08 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
