Value-at-RiskVaR
3.07€
↓
0.055%
from yesterday
Expected ShortfallES
3.58€
↓
0.065%
from yesterday
25% Drop Probability25% Drop
5.2%
↓
0.117%
from yesterday
Years Until 25% Drop25% Freq.
19.2years
↑
0.422%
from yesterday
Model RiskModel Risk
1.25
↑
0.007%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.24 | 2.81 | 3.51 | 2.82 | 2.94 | 3.09 | 3.07 | 1.25 |
| ES | 3.75 | 3.22 | 4.02 | 3.23 | 3.48 | 3.81 | 3.58 | 1.25 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
