Value-at-RiskVaR
2.95€
↓
0.005%
from yesterday
Expected ShortfallES
3.55€
↓
0.007%
from yesterday
25% Drop Probability25% Drop
5.8%
↓
0.018%
from yesterday
Years Until 25% Drop25% Freq.
17.4years
↑
0.054%
from yesterday
Model RiskModel Risk
1.4
↓
0.009%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.05 | 2.33 | 3.25 | 2.99 | 3.24 | 2.82 | 2.95 | 1.4 |
| ES | 3.57 | 2.67 | 3.72 | 3.42 | 3.99 | 3.92 | 3.55 | 1.49 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
