Value-at-RiskVaR
3.63kr
↑
0.069%
from yesterday
Expected ShortfallES
5.21kr
↑
0.079%
from yesterday
25% Drop Probability25% Drop
11%
↑
0.126%
from yesterday
Years Until 25% Drop25% Freq.
9.1years
↓
0.104%
from yesterday
Model RiskModel Risk
1.74
↓
0.03%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.18 | 3.67 | 2.44 | 3.6 | 3.67 | 4.24 | 3.63 | 1.74 |
| ES | 7.19 | 4.2 | 2.8 | 4.12 | 4.83 | 8.16 | 5.21 | 2.92 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
