Value-at-RiskVaR
3.85kr
↑
0.011%
from yesterday
Expected ShortfallES
5.43kr
↑
0.012%
from yesterday
25% Drop Probability25% Drop
11.3%
↑
0.02%
from yesterday
Years Until 25% Drop25% Freq.
8.8years
↓
0.016%
from yesterday
Model RiskModel Risk
1.4
↑
0.047%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.35 | 3.7 | 3.1 | 3.43 | 4.15 | 4.34 | 3.85 | 1.4 |
| ES | 7.22 | 4.24 | 3.55 | 3.93 | 5.49 | 8.16 | 5.43 | 2.29 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
