Value-at-RiskVaR
2.64€
↓
0.042%
from yesterday
Expected ShortfallES
3.3€
↓
0.049%
from yesterday
25% Drop Probability25% Drop
6%
↓
0.087%
from yesterday
Years Until 25% Drop25% Freq.
16.7years
↑
0.24%
from yesterday
Model RiskModel Risk
1.37
↓
0.02%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.94 | 2.22 | 3.04 | 2.38 | 2.61 | 2.66 | 2.64 | 1.37 |
| ES | 3.54 | 2.54 | 3.48 | 2.73 | 3.27 | 4.25 | 3.3 | 1.67 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
