Value-at-RiskVaR
3.34₫
↓
0.056%
from yesterday
Expected ShortfallES
4.18₫
↓
0.09%
from yesterday
25% Drop Probability25% Drop
7.1%
↓
0.285%
from yesterday
Years Until 25% Drop25% Freq.
14.2years
↑
0.55%
from yesterday
Model RiskModel Risk
2.33
↑
0.06%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.91 | 3.11 | 2.75 | 2.1 | 2.48 | 4.69 | 3.34 | 2.33 |
| ES | 5.96 | 3.56 | 3.15 | 2.41 | 3.62 | 6.4 | 4.18 | 2.66 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
