Value-at-RiskVaR
3.74kr
↑
0.013%
from yesterday
Expected ShortfallES
5.35kr
↑
0.013%
from yesterday
25% Drop Probability25% Drop
11.3%
↑
0.012%
from yesterday
Years Until 25% Drop25% Freq.
8.8years
↓
0.009%
from yesterday
Model RiskModel Risk
1.48
↑
0.017%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.18 | 3.69 | 2.86 | 3.52 | 3.97 | 4.24 | 3.74 | 1.48 |
| ES | 7.19 | 4.22 | 3.28 | 4.03 | 5.23 | 8.16 | 5.35 | 2.49 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
