Value-at-RiskVaR
2.63€
↓
0.066%
from yesterday
Expected ShortfallES
3.25€
↓
0.08%
from yesterday
25% Drop Probability25% Drop
5.6%
↓
0.15%
from yesterday
Years Until 25% Drop25% Freq.
17.9years
↑
0.466%
from yesterday
Model RiskModel Risk
1.32
↓
0.011%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.94 | 2.22 | 2.72 | 2.49 | 2.69 | 2.73 | 2.63 | 1.32 |
| ES | 3.54 | 2.55 | 3.12 | 2.85 | 3.32 | 4.11 | 3.25 | 1.61 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
