Value-at-RiskVaR
3kr
↑
0.023%
from yesterday
Expected ShortfallES
3.65kr
↑
0.028%
from yesterday
25% Drop Probability25% Drop
5.8%
↑
0.053%
from yesterday
Years Until 25% Drop25% Freq.
17.1years
↓
0.157%
from yesterday
Model RiskModel Risk
1.43
↓
0.034%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.79 | 2.4 | 3.4 | 3.25 | 3.42 | 2.74 | 3 | 1.43 |
| ES | 3.57 | 2.75 | 3.9 | 3.72 | 4.25 | 3.7 | 3.65 | 1.54 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
