Value-at-RiskVaR
3.48kr
↓
0.02%
from yesterday
Expected ShortfallES
5.04kr
↓
0.024%
from yesterday
25% Drop Probability25% Drop
10.8%
↓
0.047%
from yesterday
Years Until 25% Drop25% Freq.
9.3years
↑
0.04%
from yesterday
Model RiskModel Risk
1.84
↑
0.056%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.18 | 3.66 | 2.31 | 2.86 | 3.64 | 4.24 | 3.48 | 1.84 |
| ES | 7.19 | 4.2 | 2.65 | 3.28 | 4.8 | 8.16 | 5.04 | 3.08 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
