Value-at-RiskVaR
2.23kr
↓
0.023%
from yesterday
Expected ShortfallES
2.73kr
↓
0.027%
from yesterday
25% Drop Probability25% Drop
4.2%
↓
0.047%
from yesterday
Years Until 25% Drop25% Freq.
23.7years
↑
0.261%
from yesterday
Model RiskModel Risk
1.86
↑
0.052%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.95 | 2.47 | 1.59 | 1.72 | 1.86 | 2.8 | 2.23 | 1.86 |
| ES | 3.66 | 2.83 | 1.82 | 1.97 | 2.27 | 3.83 | 2.73 | 2.11 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
