Value-at-RiskVaR
4.62₫
↑
0.165%
from yesterday
Expected ShortfallES
5.8₫
↑
0.213%
from yesterday
25% Drop Probability25% Drop
10.2%
↑
0.486%
from yesterday
Years Until 25% Drop25% Freq.
9.8years
↓
0.49%
from yesterday
Model RiskModel Risk
1.67
↑
0.14%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.95 | 3.27 | 4.31 | 4.71 | 5.48 | 5.02 | 4.62 | 1.67 |
| ES | 6.25 | 3.75 | 4.94 | 5.4 | 7.93 | 6.52 | 5.8 | 2.12 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
