Value-at-RiskVaR
3.71kr
↑
0.095%
from yesterday
Expected ShortfallES
5.31kr
↑
0.111%
from yesterday
25% Drop Probability25% Drop
11.2%
↑
0.188%
from yesterday
Years Until 25% Drop25% Freq.
8.9years
↓
0.152%
from yesterday
Model RiskModel Risk
1.59
↓
0.008%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.18 | 3.66 | 2.66 | 3.84 | 3.69 | 4.24 | 3.71 | 1.59 |
| ES | 7.19 | 4.19 | 3.05 | 4.4 | 4.88 | 8.16 | 5.31 | 2.67 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
