Value-at-RiskVaR
5.89€
↑
0.101%
from yesterday
Expected ShortfallES
7.77€
↑
0.119%
from yesterday
25% Drop Probability25% Drop
15.6%
↑
0.216%
from yesterday
Years Until 25% Drop25% Freq.
6.4years
↓
0.09%
from yesterday
Model RiskModel Risk
1.35
↓
0.001%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 6.7 | 4.97 | 5.6 | 5.53 | 6.33 | 6.2 | 5.89 | 1.35 |
| ES | 8.9 | 5.7 | 6.42 | 6.34 | 8.81 | 10.47 | 7.77 | 1.84 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
