Value-at-RiskVaR
3.31€
↑
0.046%
from yesterday
Expected ShortfallES
3.86€
↑
0.054%
from yesterday
25% Drop Probability25% Drop
5.7%
↑
0.092%
from yesterday
Years Until 25% Drop25% Freq.
17.6years
↓
0.289%
from yesterday
Model RiskModel Risk
1.39
↓
0.041%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.34 | 2.83 | 3.93 | 3.24 | 3.39 | 3.15 | 3.31 | 1.39 |
| ES | 3.79 | 3.24 | 4.51 | 3.71 | 4.02 | 3.9 | 3.86 | 1.39 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
