Value-at-RiskVaR
2.56kr
↑
0.04%
from yesterday
Expected ShortfallES
3.26kr
↑
0.05%
from yesterday
25% Drop Probability25% Drop
5.5%
↑
0.108%
from yesterday
Years Until 25% Drop25% Freq.
18.2years
↓
0.364%
from yesterday
Model RiskModel Risk
1.6
↓
0.004%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.19 | 2.54 | 1.99 | 2.15 | 2.34 | 3.17 | 2.56 | 1.6 |
| ES | 4.28 | 2.91 | 2.28 | 2.47 | 3.18 | 4.46 | 3.26 | 1.95 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
