Value-at-RiskVaR
2.4kr
↑
0.066%
from yesterday
Expected ShortfallES
2.94kr
↑
0.076%
from yesterday
25% Drop Probability25% Drop
4.6%
↑
0.125%
from yesterday
Years Until 25% Drop25% Freq.
21.8years
↓
0.611%
from yesterday
Model RiskModel Risk
1.58
↓
0.417%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.95 | 2.46 | 1.87 | 2.11 | 2.23 | 2.8 | 2.4 | 1.58 |
| ES | 3.66 | 2.82 | 2.14 | 2.42 | 2.74 | 3.83 | 2.93 | 1.79 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
