Value-at-RiskVaR
2.75kr
↑
0.148%
from yesterday
Expected ShortfallES
3.49kr
↑
0.182%
from yesterday
25% Drop Probability25% Drop
6%
↑
0.363%
from yesterday
Years Until 25% Drop25% Freq.
16.7years
↓
1.076%
from yesterday
Model RiskModel Risk
1.75
↓
0.219%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.19 | 2.55 | 1.82 | 2.77 | 2.99 | 3.17 | 2.75 | 1.75 |
| ES | 4.28 | 2.92 | 2.08 | 3.17 | 4.06 | 4.46 | 3.49 | 2.14 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
