Value-at-RiskVaR
2.58kr
↓
0.012%
from yesterday
Expected ShortfallES
3.23kr
↓
0.014%
from yesterday
25% Drop Probability25% Drop
5.3%
↓
0.03%
from yesterday
Years Until 25% Drop25% Freq.
19years
↑
0.108%
from yesterday
Model RiskModel Risk
1.43
↑
0.036%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.1 | 2.48 | 2.16 | 2.22 | 2.45 | 3.07 | 2.58 | 1.43 |
| ES | 4.05 | 2.85 | 2.47 | 2.54 | 3.26 | 4.17 | 3.22 | 1.69 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
