Value-at-RiskVaR
4.76kr
↑
0.839%
from yesterday
Expected ShortfallES
6.5kr
↑
1.075%
from yesterday
25% Drop Probability25% Drop
13.2%
↑
2.277%
from yesterday
Years Until 25% Drop25% Freq.
7.6years
↓
1.59%
from yesterday
Model RiskModel Risk
1.84
↑
0.404%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.35 | 3.72 | 4.41 | 6.84 | 4.92 | 4.34 | 4.76 | 1.84 |
| ES | 7.22 | 4.26 | 5.05 | 7.83 | 6.48 | 8.16 | 6.5 | 1.92 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
