Value-at-RiskVaR
5.41€
↑
0.259%
from yesterday
Expected ShortfallES
7.08€
↑
0.327%
from yesterday
25% Drop Probability25% Drop
13.8%
↑
0.708%
from yesterday
Years Until 25% Drop25% Freq.
7.2years
↓
0.391%
from yesterday
Model RiskModel Risk
1.4
↓
0.022%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 6.26 | 4.85 | 4.45 | 5.23 | 5.85 | 5.82 | 5.41 | 1.4 |
| ES | 8.23 | 5.56 | 5.1 | 5.99 | 8.04 | 9.54 | 7.08 | 1.87 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
