Value-at-RiskVaR
3.86kr
↓
0.097%
from yesterday
Expected ShortfallES
5.22kr
↓
0.111%
from yesterday
25% Drop Probability25% Drop
9.6%
↓
0.181%
from yesterday
Years Until 25% Drop25% Freq.
10.4years
↑
0.192%
from yesterday
Model RiskModel Risk
1.12
↓
0.062%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.98 | 3.67 | 3.6 | 3.92 | 3.95 | 4.05 | 3.86 | 1.12 |
| ES | 6.6 | 4.21 | 4.13 | 4.49 | 5.1 | 6.77 | 5.22 | 1.64 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
