Value-at-RiskVaR
3.14€
↑
0.127%
from yesterday
Expected ShortfallES
3.78€
↑
0.15%
from yesterday
25% Drop Probability25% Drop
6.2%
↑
0.273%
from yesterday
Years Until 25% Drop25% Freq.
16.1years
↓
0.744%
from yesterday
Model RiskModel Risk
1.56
↓
0.045%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.05 | 2.35 | 3.67 | 3.32 | 3.6 | 2.82 | 3.14 | 1.56 |
| ES | 3.57 | 2.69 | 4.21 | 3.8 | 4.47 | 3.92 | 3.78 | 1.66 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
