Value-at-RiskVaR
2.85€
↓
0.108%
from yesterday
Expected ShortfallES
3.43€
↓
0.128%
from yesterday
25% Drop Probability25% Drop
5.5%
↓
0.228%
from yesterday
Years Until 25% Drop25% Freq.
18.2years
↑
0.722%
from yesterday
Model RiskModel Risk
1.34
↓
0.092%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.05 | 2.32 | 3.11 | 2.76 | 3.04 | 2.81 | 2.85 | 1.34 |
| ES | 3.57 | 2.66 | 3.56 | 3.16 | 3.74 | 3.87 | 3.43 | 1.46 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
