Value-at-RiskVaR
2.64€
↓
0.082%
from yesterday
Expected ShortfallES
3.19€
↓
0.096%
from yesterday
25% Drop Probability25% Drop
5.1%
↓
0.17%
from yesterday
Years Until 25% Drop25% Freq.
19.5years
↑
0.624%
from yesterday
Model RiskModel Risk
1.3
↓
0.034%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.96 | 2.32 | 3 | 2.32 | 2.51 | 2.72 | 2.64 | 1.3 |
| ES | 3.52 | 2.66 | 3.44 | 2.65 | 3.13 | 3.76 | 3.19 | 1.42 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
