Value-at-RiskVaR
2.54kr
↓
0.012%
from yesterday
Expected ShortfallES
3.11kr
↓
0.014%
from yesterday
25% Drop Probability25% Drop
4.9%
↓
0.025%
from yesterday
Years Until 25% Drop25% Freq.
20.5years
↑
0.104%
from yesterday
Model RiskModel Risk
1.2
↓
0.003%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.79 | 2.37 | 2.57 | 2.31 | 2.48 | 2.73 | 2.54 | 1.2 |
| ES | 3.57 | 2.71 | 2.94 | 2.65 | 3.1 | 3.68 | 3.11 | 1.39 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
