Value-at-RiskVaR
2.88kr
↑
0.054%
from yesterday
Expected ShortfallES
3.6kr
↑
0.064%
from yesterday
25% Drop Probability25% Drop
6%
↑
0.117%
from yesterday
Years Until 25% Drop25% Freq.
16.6years
↓
0.329%
from yesterday
Model RiskModel Risk
1.28
↑
0.032%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.1 | 2.48 | 2.68 | 2.78 | 3.18 | 3.07 | 2.88 | 1.28 |
| ES | 4.05 | 2.84 | 3.06 | 3.18 | 4.26 | 4.17 | 3.6 | 1.5 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
