Value-at-RiskVaR
2.82kr
↓
0.047%
from yesterday
Expected ShortfallES
3.43kr
↓
0.055%
from yesterday
25% Drop Probability25% Drop
5.5%
↓
0.096%
from yesterday
Years Until 25% Drop25% Freq.
18.3years
↑
0.316%
from yesterday
Model RiskModel Risk
1.33
↓
0.007%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.79 | 2.39 | 3.18 | 2.81 | 3 | 2.73 | 2.82 | 1.33 |
| ES | 3.57 | 2.74 | 3.65 | 3.22 | 3.75 | 3.68 | 3.43 | 1.37 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
