Value-at-RiskVaR
2.93€
↓
0.064%
from yesterday
Expected ShortfallES
3.66€
↓
0.076%
from yesterday
25% Drop Probability25% Drop
6.1%
↓
0.136%
from yesterday
Years Until 25% Drop25% Freq.
16.3years
↑
0.352%
from yesterday
Model RiskModel Risk
1.41
↑
0.052%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.47 | 2.56 | 3.15 | 2.47 | 2.71 | 3.25 | 2.93 | 1.41 |
| ES | 4.43 | 2.93 | 3.61 | 2.83 | 3.31 | 4.84 | 3.66 | 1.71 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
