Value-at-RiskVaR
3.28€
↓
0.036%
from yesterday
Expected ShortfallES
4.06€
↓
0.05%
from yesterday
25% Drop Probability25% Drop
7.4%
↓
0.125%
from yesterday
Years Until 25% Drop25% Freq.
13.6years
↑
0.227%
from yesterday
Model RiskModel Risk
1.91
↓
0.245%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.94 | 2.23 | 3.57 | 4.03 | 4.25 | 2.66 | 3.28 | 1.91 |
| ES | 3.54 | 2.56 | 4.08 | 4.62 | 5.31 | 4.25 | 4.06 | 2.08 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
