Value-at-RiskVaR
4.03kr
↑
0.014%
from yesterday
Expected ShortfallES
5.64kr
↑
0.015%
from yesterday
25% Drop Probability25% Drop
11.7%
↑
0.015%
from yesterday
Years Until 25% Drop25% Freq.
8.6years
↓
0.011%
from yesterday
Model RiskModel Risk
1.18
↓
0.059%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.35 | 3.71 | 3.74 | 3.69 | 4.35 | 4.34 | 4.03 | 1.18 |
| ES | 7.22 | 4.25 | 4.28 | 4.22 | 5.74 | 8.16 | 5.64 | 1.93 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
