Value-at-RiskVaR
2.86kr
↓
0.006%
from yesterday
Expected ShortfallES
3.49kr
↓
0.007%
from yesterday
25% Drop Probability25% Drop
5.6%
↓
0.019%
from yesterday
Years Until 25% Drop25% Freq.
18years
↑
0.061%
from yesterday
Model RiskModel Risk
1.34
↑
0.013%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.79 | 2.39 | 3.2 | 2.94 | 3.13 | 2.73 | 2.86 | 1.34 |
| ES | 3.57 | 2.74 | 3.67 | 3.37 | 3.91 | 3.68 | 3.49 | 1.43 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
