Value-at-RiskVaR
2.35kr
↑
0.009%
from yesterday
Expected ShortfallES
2.86kr
↑
0.016%
from yesterday
25% Drop Probability25% Drop
4.4%
↑
0.054%
from yesterday
Years Until 25% Drop25% Freq.
22.9years
↓
0.287%
from yesterday
Model RiskModel Risk
1.52
↓
0.015%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.82 | 2.43 | 1.86 | 2.06 | 2.21 | 2.75 | 2.36 | 1.52 |
| ES | 3.55 | 2.78 | 2.13 | 2.36 | 2.71 | 3.64 | 2.86 | 1.71 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
