Value-at-RiskVaR
2.92kr
↓
0.02%
from yesterday
Expected ShortfallES
3.55kr
↓
0.025%
from yesterday
25% Drop Probability25% Drop
5.6%
↓
0.051%
from yesterday
Years Until 25% Drop25% Freq.
17.7years
↑
0.159%
from yesterday
Model RiskModel Risk
1.38
↓
0.046%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.79 | 2.38 | 3.22 | 3.11 | 3.29 | 2.74 | 2.92 | 1.38 |
| ES | 3.57 | 2.72 | 3.69 | 3.56 | 4.06 | 3.7 | 3.55 | 1.49 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
