Value-at-RiskVaR
4.18€
↑
0.012%
from yesterday
Expected ShortfallES
4.86€
↑
0.012%
from yesterday
25% Drop Probability25% Drop
7.4%
↑
0.012%
from yesterday
Years Until 25% Drop25% Freq.
13.5years
↓
0.022%
from yesterday
Model RiskModel Risk
1.91
↓
0.141%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.36 | 2.84 | 5.05 | 5.23 | 5.41 | 3.18 | 4.18 | 1.91 |
| ES | 3.79 | 3.25 | 5.78 | 5.99 | 6.42 | 3.95 | 4.86 | 1.97 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
