Value-at-RiskVaR
2.22kr
↓
0.007%
from yesterday
Expected ShortfallES
2.7kr
↓
0.008%
from yesterday
25% Drop Probability25% Drop
4.1%
↓
0.013%
from yesterday
Years Until 25% Drop25% Freq.
24.7years
↑
0.079%
from yesterday
Model RiskModel Risk
1.7
↑
0.05%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.79 | 2.39 | 1.64 | 1.81 | 1.97 | 2.72 | 2.22 | 1.7 |
| ES | 3.52 | 2.74 | 1.88 | 2.08 | 2.43 | 3.55 | 2.7 | 1.89 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
