Value-at-RiskVaR
2.48€
↓
0.02%
from yesterday
Expected ShortfallES
3.23€
↓
0.024%
from yesterday
25% Drop Probability25% Drop
5.6%
↓
0.045%
from yesterday
Years Until 25% Drop25% Freq.
17.7years
↑
0.14%
from yesterday
Model RiskModel Risk
2.56
↑
0.032%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.66 | 2.71 | 1.43 | 1.68 | 1.84 | 3.55 | 2.48 | 2.56 |
| ES | 4.91 | 3.1 | 1.64 | 1.93 | 2.29 | 5.5 | 3.23 | 3.36 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
