Value-at-RiskVaR
6.34€
↓
0.045%
from yesterday
Expected ShortfallES
8.26€
↓
0.071%
from yesterday
25% Drop Probability25% Drop
16.3%
↓
0.232%
from yesterday
Years Until 25% Drop25% Freq.
6.1years
↑
0.086%
from yesterday
Model RiskModel Risk
1.42
↓
0.042%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 7.15 | 5.05 | 6.27 | 5.99 | 6.96 | 6.59 | 6.34 | 1.42 |
| ES | 9.21 | 5.78 | 7.19 | 6.86 | 9.76 | 10.76 | 8.26 | 1.86 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
