Value-at-RiskVaR
2.53kr
↑
0.024%
from yesterday
Expected ShortfallES
3.23kr
↑
0.03%
from yesterday
25% Drop Probability25% Drop
5.5%
↑
0.058%
from yesterday
Years Until 25% Drop25% Freq.
18.3years
↓
0.197%
from yesterday
Model RiskModel Risk
1.9
↓
0.023%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.19 | 2.55 | 1.68 | 2.19 | 2.42 | 3.17 | 2.53 | 1.9 |
| ES | 4.28 | 2.92 | 1.92 | 2.51 | 3.29 | 4.46 | 3.23 | 2.32 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
