Value-at-RiskVaR
5.77€
↓
0.015%
from yesterday
Expected ShortfallES
7.58€
↓
0.024%
from yesterday
25% Drop Probability25% Drop
15.1%
↓
0.081%
from yesterday
Years Until 25% Drop25% Freq.
6.6years
↑
0.036%
from yesterday
Model RiskModel Risk
1.45
↑
0.006%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 7.15 | 5.03 | 4.95 | 5.05 | 5.89 | 6.55 | 5.77 | 1.45 |
| ES | 9.21 | 5.76 | 5.67 | 5.78 | 8.32 | 10.77 | 7.59 | 1.9 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
