Value-at-RiskVaR
3.87kr
↑
0.127%
from yesterday
Expected ShortfallES
5.24kr
↑
0.147%
from yesterday
25% Drop Probability25% Drop
9.8%
↑
0.243%
from yesterday
Years Until 25% Drop25% Freq.
10.3years
↓
0.262%
from yesterday
Model RiskModel Risk
1.2
↑
0.008%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.98 | 3.67 | 3.45 | 4.13 | 3.97 | 4.04 | 3.88 | 1.2 |
| ES | 6.6 | 4.21 | 3.96 | 4.74 | 5.12 | 6.82 | 5.24 | 1.72 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
