Value-at-RiskVaR
3.2€
↓
0.088%
from yesterday
Expected ShortfallES
3.98€
↓
0.106%
from yesterday
25% Drop Probability25% Drop
6.8%
↓
0.196%
from yesterday
Years Until 25% Drop25% Freq.
14.8years
↑
0.415%
from yesterday
Model RiskModel Risk
1.35
↓
0.101%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.47 | 2.56 | 3.21 | 3.29 | 3.42 | 3.23 | 3.2 | 1.35 |
| ES | 4.43 | 2.93 | 3.68 | 3.77 | 4.21 | 4.86 | 3.98 | 1.66 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
