Value-at-RiskVaR
5.61€
↓
0.08%
from yesterday
Expected ShortfallES
7.43€
↓
0.101%
from yesterday
25% Drop Probability25% Drop
14.9%
↓
0.218%
from yesterday
Years Until 25% Drop25% Freq.
6.7years
↑
0.097%
from yesterday
Model RiskModel Risk
1.44
↑
0.067%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 6.7 | 4.98 | 5.62 | 4.64 | 5.52 | 6.2 | 5.61 | 1.44 |
| ES | 8.9 | 5.7 | 6.44 | 5.32 | 7.73 | 10.47 | 7.43 | 1.97 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
