Value-at-RiskVaR
2.66kr
↓
0.025%
from yesterday
Expected ShortfallES
3.33kr
↓
0.031%
from yesterday
25% Drop Probability25% Drop
5.5%
↓
0.064%
from yesterday
Years Until 25% Drop25% Freq.
18.3years
↑
0.212%
from yesterday
Model RiskModel Risk
1.34
↓
0.048%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.1 | 2.49 | 2.3 | 2.38 | 2.65 | 3.07 | 2.66 | 1.34 |
| ES | 4.05 | 2.85 | 2.64 | 2.73 | 3.52 | 4.17 | 3.33 | 1.58 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
