Value-at-RiskVaR
2.62kr
↑
0.033%
from yesterday
Expected ShortfallES
3.17kr
↑
0.035%
from yesterday
25% Drop Probability25% Drop
4.9%
↑
0.046%
from yesterday
Years Until 25% Drop25% Freq.
20.4years
↓
0.194%
from yesterday
Model RiskModel Risk
1.19
↑
0.028%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.73 | 2.37 | 2.44 | 2.66 | 2.82 | 2.69 | 2.62 | 1.19 |
| ES | 3.48 | 2.72 | 2.8 | 3.05 | 3.47 | 3.53 | 3.18 | 1.3 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
