Value-at-RiskVaR
4.66₫
↑
0.106%
from yesterday
Expected ShortfallES
5.84₫
↑
0.139%
from yesterday
25% Drop Probability25% Drop
10.7%
↑
0.332%
from yesterday
Years Until 25% Drop25% Freq.
9.4years
↓
0.3%
from yesterday
Model RiskModel Risk
1.9
↑
0.136%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.86 | 3.1 | 4.49 | 5.05 | 5.88 | 4.58 | 4.66 | 1.9 |
| ES | 5.84 | 3.55 | 5.15 | 5.79 | 8.52 | 6.2 | 5.84 | 2.4 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
