Value-at-RiskVaR
2.92€
↓
0.03%
from yesterday
Expected ShortfallES
3.53€
↓
0.037%
from yesterday
25% Drop Probability25% Drop
5.8%
↓
0.072%
from yesterday
Years Until 25% Drop25% Freq.
17.3years
↑
0.213%
from yesterday
Model RiskModel Risk
1.4
↓
0.013%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.05 | 2.34 | 3.27 | 2.9 | 3.14 | 2.82 | 2.92 | 1.4 |
| ES | 3.57 | 2.69 | 3.75 | 3.32 | 3.93 | 3.92 | 3.53 | 1.46 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
