Value-at-RiskVaR
2.95€
↓
0.102%
from yesterday
Expected ShortfallES
3.68€
↓
0.12%
from yesterday
25% Drop Probability25% Drop
6.2%
↓
0.212%
from yesterday
Years Until 25% Drop25% Freq.
16.1years
↑
0.533%
from yesterday
Model RiskModel Risk
1.48
↑
0.133%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.47 | 2.57 | 3.36 | 2.34 | 2.7 | 3.25 | 2.95 | 1.48 |
| ES | 4.43 | 2.94 | 3.85 | 2.68 | 3.33 | 4.84 | 3.68 | 1.81 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
