Value-at-RiskVaR
6.14€
↑
0.09%
from yesterday
Expected ShortfallES
8.04€
↑
0.11%
from yesterday
25% Drop Probability25% Drop
15.9%
↑
0.21%
from yesterday
Years Until 25% Drop25% Freq.
6.3years
↓
0.084%
from yesterday
Model RiskModel Risk
1.42
↓
0.001%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 7.15 | 5.03 | 5.47 | 5.91 | 6.73 | 6.55 | 6.14 | 1.42 |
| ES | 9.21 | 5.77 | 6.27 | 6.77 | 9.45 | 10.77 | 8.04 | 1.87 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
