Value-at-RiskVaR
4.13₫
↓
0.043%
from yesterday
Expected ShortfallES
5.17₫
↓
0.059%
from yesterday
25% Drop Probability25% Drop
8.8%
↓
0.151%
from yesterday
Years Until 25% Drop25% Freq.
11.3years
↑
0.19%
from yesterday
Model RiskModel Risk
1.54
Max/min VaR ratio
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.95 | 3.27 | 3.89 | 3.55 | 4.13 | 5.02 | 4.13 | 1.54 |
| ES | 6.25 | 3.74 | 4.46 | 4.06 | 6.01 | 6.52 | 5.17 | 1.74 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
