Value-at-RiskVaR
4.41₫
↓
0.163%
from yesterday
Expected ShortfallES
5.51₫
↓
0.208%
from yesterday
25% Drop Probability25% Drop
9.5%
↓
0.462%
from yesterday
Years Until 25% Drop25% Freq.
10.5years
↑
0.486%
from yesterday
Model RiskModel Risk
1.53
↓
0.054%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.95 | 3.27 | 4.4 | 4.08 | 4.74 | 5.02 | 4.41 | 1.53 |
| ES | 6.25 | 3.75 | 5.04 | 4.67 | 6.86 | 6.52 | 5.51 | 1.83 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
