Value-at-RiskVaR
4.14kr
↓
0.044%
from yesterday
Expected ShortfallES
5.78kr
↓
0.049%
from yesterday
25% Drop Probability25% Drop
12%
↓
0.07%
from yesterday
Years Until 25% Drop25% Freq.
8.4years
↑
0.049%
from yesterday
Model RiskModel Risk
1.41
↑
0.026%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.35 | 3.71 | 4.61 | 3.27 | 4.58 | 4.34 | 4.14 | 1.41 |
| ES | 7.22 | 4.25 | 5.28 | 3.74 | 6.04 | 8.16 | 5.78 | 2.18 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
