Value-at-RiskVaR
3.06€
↓
0.133%
from yesterday
Expected ShortfallES
3.8€
↓
0.157%
from yesterday
25% Drop Probability25% Drop
6.4%
↓
0.276%
from yesterday
Years Until 25% Drop25% Freq.
15.6years
↑
0.646%
from yesterday
Model RiskModel Risk
1.36
Max/min VaR ratio
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.47 | 2.56 | 3.34 | 2.68 | 3.03 | 3.25 | 3.05 | 1.36 |
| ES | 4.43 | 2.93 | 3.83 | 3.07 | 3.71 | 4.84 | 3.8 | 1.65 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
