Value-at-RiskVaR
2.55kr
↓
0.051%
from yesterday
Expected ShortfallES
3.12kr
↓
0.056%
from yesterday
25% Drop Probability25% Drop
4.9%
↓
0.071%
from yesterday
Years Until 25% Drop25% Freq.
20.3years
↑
0.289%
from yesterday
Model RiskModel Risk
1.19
↑
0.018%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.79 | 2.36 | 2.57 | 2.34 | 2.51 | 2.7 | 2.55 | 1.19 |
| ES | 3.57 | 2.71 | 2.94 | 2.68 | 3.13 | 3.67 | 3.12 | 1.37 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
