Value-at-RiskVaR
5.65€
↓
0.198%
from yesterday
Expected ShortfallES
7.38€
↓
0.247%
from yesterday
25% Drop Probability25% Drop
14.5%
↓
0.522%
from yesterday
Years Until 25% Drop25% Freq.
6.9years
↑
0.241%
from yesterday
Model RiskModel Risk
1.29
↓
0.091%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 6.26 | 4.84 | 5.65 | 5.18 | 6.17 | 5.82 | 5.65 | 1.29 |
| ES | 8.23 | 5.54 | 6.47 | 5.93 | 8.58 | 9.54 | 7.38 | 1.72 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
