Value-at-RiskVaR
4.04€
↓
0.133%
from yesterday
Expected ShortfallES
4.71€
↓
0.155%
from yesterday
25% Drop Probability25% Drop
7.1%
↓
0.263%
from yesterday
Years Until 25% Drop25% Freq.
14years
↑
0.499%
from yesterday
Model RiskModel Risk
1.79
↓
0.116%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.36 | 2.84 | 4.92 | 4.89 | 5.08 | 3.18 | 4.04 | 1.79 |
| ES | 3.79 | 3.25 | 5.64 | 5.61 | 6.02 | 3.95 | 4.71 | 1.85 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
