Value-at-RiskVaR
3.76kr
↓
0.037%
from yesterday
Expected ShortfallES
5.11kr
↓
0.042%
from yesterday
25% Drop Probability25% Drop
9.5%
↓
0.066%
from yesterday
Years Until 25% Drop25% Freq.
10.5years
↑
0.072%
from yesterday
Model RiskModel Risk
1.22
↑
0.052%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.98 | 3.66 | 3.64 | 3.28 | 3.98 | 4.01 | 3.76 | 1.22 |
| ES | 6.6 | 4.2 | 4.17 | 3.75 | 5.16 | 6.77 | 5.11 | 1.8 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
