Value-at-RiskVaR
2.76kr
↓
0.051%
from yesterday
Expected ShortfallES
3.45kr
↓
0.065%
from yesterday
25% Drop Probability25% Drop
5.7%
↓
0.136%
from yesterday
Years Until 25% Drop25% Freq.
17.4years
↑
0.402%
from yesterday
Model RiskModel Risk
1.29
↓
0.099%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.1 | 2.49 | 2.4 | 2.55 | 2.93 | 3.07 | 2.76 | 1.29 |
| ES | 4.05 | 2.85 | 2.75 | 2.92 | 3.94 | 4.17 | 3.45 | 1.52 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
