Value-at-RiskVaR
3.85kr
↓
0.128%
from yesterday
Expected ShortfallES
4.89kr
↓
0.163%
from yesterday
25% Drop Probability25% Drop
8.9%
↓
0.362%
from yesterday
Years Until 25% Drop25% Freq.
11.3years
↑
0.443%
from yesterday
Model RiskModel Risk
2.15
↓
0.163%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.19 | 2.52 | 4.44 | 4.37 | 5.41 | 3.16 | 3.85 | 2.15 |
| ES | 4.44 | 2.89 | 5.09 | 5.01 | 7.35 | 4.59 | 4.89 | 2.54 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
