Value-at-RiskVaR
2.68€
↓
0.075%
from yesterday
Expected ShortfallES
3.35€
↓
0.089%
from yesterday
25% Drop Probability25% Drop
5.7%
↓
0.159%
from yesterday
Years Until 25% Drop25% Freq.
17.6years
↑
0.477%
from yesterday
Model RiskModel Risk
1.49
↑
0.089%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.42 | 2.48 | 2.42 | 2.3 | 2.46 | 2.99 | 2.68 | 1.49 |
| ES | 4.25 | 2.85 | 2.77 | 2.63 | 3.01 | 4.57 | 3.34 | 1.74 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
