Value-at-RiskVaR
2.83€
↓
0.048%
from yesterday
Expected ShortfallES
3.48€
↓
0.063%
from yesterday
25% Drop Probability25% Drop
5.9%
↓
0.147%
from yesterday
Years Until 25% Drop25% Freq.
17.1years
↑
0.419%
from yesterday
Model RiskModel Risk
1.61
↓
0.202%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.71 | 2.13 | 2.98 | 3.09 | 3.43 | 2.62 | 2.82 | 1.61 |
| ES | 3.41 | 2.44 | 3.41 | 3.54 | 4.41 | 3.66 | 3.48 | 1.81 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
