Value-at-RiskVaR
5.87€
↓
0.001%
from yesterday
Expected ShortfallES
7.64€
↓
0.006%
from yesterday
25% Drop Probability25% Drop
14.5%
↓
0.042%
from yesterday
Years Until 25% Drop25% Freq.
6.9years
↑
0.02%
from yesterday
Model RiskModel Risk
1.78
↓
0.114%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 7.9 | 5.35 | 4.43 | 4.68 | 5.47 | 7.36 | 5.86 | 1.78 |
| ES | 10.07 | 6.13 | 5.08 | 5.36 | 7.81 | 11.39 | 7.64 | 2.24 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
