Value-at-RiskVaR
5.5€
↓
0.045%
from yesterday
Expected ShortfallES
7.19€
↓
0.058%
from yesterday
25% Drop Probability25% Drop
13.5%
↓
0.133%
from yesterday
Years Until 25% Drop25% Freq.
7.4years
↑
0.072%
from yesterday
Model RiskModel Risk
2.18
↑
0.052%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 7.9 | 5.29 | 3.63 | 4.09 | 4.78 | 7.33 | 5.5 | 2.18 |
| ES | 10.07 | 6.06 | 4.16 | 4.69 | 6.85 | 11.28 | 7.19 | 2.71 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
