Value-at-RiskVaR
3.35€
↓
0.043%
from yesterday
Expected ShortfallES
3.89€
↓
0.05%
from yesterday
25% Drop Probability25% Drop
5.7%
↓
0.084%
from yesterday
Years Until 25% Drop25% Freq.
17.6years
↑
0.255%
from yesterday
Model RiskModel Risk
1.35
↓
0.03%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.34 | 2.78 | 3.46 | 3.62 | 3.75 | 3.14 | 3.35 | 1.35 |
| ES | 3.75 | 3.18 | 3.96 | 4.15 | 4.42 | 3.85 | 3.89 | 1.39 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
