Value-at-RiskVaR
2.32kr
↑
0.033%
from yesterday
Expected ShortfallES
2.81kr
↑
0.04%
from yesterday
25% Drop Probability25% Drop
4.3%
↑
0.074%
from yesterday
Years Until 25% Drop25% Freq.
23.5years
↓
0.416%
from yesterday
Model RiskModel Risk
1.62
↑
0.048%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.82 | 2.43 | 1.74 | 2 | 2.14 | 2.75 | 2.32 | 1.62 |
| ES | 3.55 | 2.79 | 2 | 2.29 | 2.64 | 3.62 | 2.81 | 1.81 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
