Value-at-RiskVaR
2.83€
↑
0.058%
from yesterday
Expected ShortfallES
3.52€
↑
0.068%
from yesterday
25% Drop Probability25% Drop
5.8%
↑
0.119%
from yesterday
Years Until 25% Drop25% Freq.
17.2years
↓
0.359%
from yesterday
Model RiskModel Risk
1.52
↓
0.035%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.42 | 2.54 | 2.25 | 2.72 | 2.85 | 3.19 | 2.83 | 1.52 |
| ES | 4.38 | 2.91 | 2.57 | 3.12 | 3.5 | 4.66 | 3.52 | 1.81 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
