Value-at-RiskVaR
5.53€
↑
0.123%
from yesterday
Expected ShortfallES
7.23€
↑
0.149%
from yesterday
25% Drop Probability25% Drop
14.1%
↑
0.291%
from yesterday
Years Until 25% Drop25% Freq.
7.1years
↓
0.149%
from yesterday
Model RiskModel Risk
1.3
↓
0.106%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 6.26 | 4.85 | 4.82 | 5.4 | 6.06 | 5.82 | 5.53 | 1.3 |
| ES | 8.23 | 5.55 | 5.52 | 6.19 | 8.33 | 9.54 | 7.23 | 1.73 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
