Value-at-RiskVaR
3.73€
↓
0.001%
from yesterday
Expected ShortfallES
4.48€
↓
0.007%
from yesterday
25% Drop Probability25% Drop
7.4%
↓
0.043%
from yesterday
Years Until 25% Drop25% Freq.
13.4years
↑
0.077%
from yesterday
Model RiskModel Risk
2.16
↓
0.208%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.05 | 2.36 | 4.27 | 4.73 | 5.11 | 2.82 | 3.73 | 2.16 |
| ES | 3.57 | 2.71 | 4.89 | 5.42 | 6.34 | 3.92 | 4.48 | 2.34 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
