Value-at-RiskVaR
3.74€
↓
0.024%
from yesterday
Expected ShortfallES
4.35€
↓
0.028%
from yesterday
25% Drop Probability25% Drop
6.5%
↓
0.052%
from yesterday
Years Until 25% Drop25% Freq.
15.4years
↑
0.122%
from yesterday
Model RiskModel Risk
1.58
↓
0.096%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.36 | 2.81 | 4.35 | 4.28 | 4.43 | 3.18 | 3.74 | 1.58 |
| ES | 3.79 | 3.22 | 4.98 | 4.9 | 5.24 | 3.95 | 4.35 | 1.62 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
