Value-at-RiskVaR
3.85kr
↑
0.104%
from yesterday
Expected ShortfallES
5.2kr
↑
0.12%
from yesterday
25% Drop Probability25% Drop
9.6%
↑
0.197%
from yesterday
Years Until 25% Drop25% Freq.
10.4years
↓
0.216%
from yesterday
Model RiskModel Risk
1.31
↓
0.032%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.18 | 3.69 | 3.19 | 3.89 | 4.03 | 4.15 | 3.86 | 1.31 |
| ES | 6.71 | 4.22 | 3.66 | 4.45 | 5.21 | 6.94 | 5.2 | 1.9 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
