Value-at-RiskVaR
2.56kr
↓
0.009%
from yesterday
Expected ShortfallES
3.21kr
↓
0.011%
from yesterday
25% Drop Probability25% Drop
5.2%
↓
0.022%
from yesterday
Years Until 25% Drop25% Freq.
19.1years
↑
0.08%
from yesterday
Model RiskModel Risk
1.5
↓
0.01%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.1 | 2.48 | 2.3 | 2.06 | 2.36 | 3.07 | 2.56 | 1.5 |
| ES | 4.05 | 2.85 | 2.64 | 2.36 | 3.17 | 4.17 | 3.21 | 1.77 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
