Value-at-RiskVaR
2.54kr
↓
0.002%
from yesterday
Expected ShortfallES
3.24kr
↓
0.003%
from yesterday
25% Drop Probability25% Drop
5.5%
↓
0.004%
from yesterday
Years Until 25% Drop25% Freq.
18.3years
↑
0.013%
from yesterday
Model RiskModel Risk
1.63
↑
0.041%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.19 | 2.54 | 1.96 | 2.11 | 2.29 | 3.17 | 2.54 | 1.63 |
| ES | 4.28 | 2.91 | 2.24 | 2.42 | 3.13 | 4.46 | 3.24 | 1.99 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
