Value-at-RiskVaR
2.32kr
↓
0.024%
from yesterday
Expected ShortfallES
2.83kr
↓
0.029%
from yesterday
25% Drop Probability25% Drop
4.4%
↓
0.05%
from yesterday
Years Until 25% Drop25% Freq.
22.8years
↑
0.256%
from yesterday
Model RiskModel Risk
1.67
↑
0.031%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.95 | 2.47 | 1.77 | 1.88 | 2.02 | 2.8 | 2.32 | 1.67 |
| ES | 3.66 | 2.83 | 2.03 | 2.15 | 2.47 | 3.83 | 2.83 | 1.89 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
