Value-at-RiskVaR
2.98€
↓
0.082%
from yesterday
Expected ShortfallES
3.72€
↓
0.096%
from yesterday
25% Drop Probability25% Drop
6.3%
↓
0.167%
from yesterday
Years Until 25% Drop25% Freq.
15.8years
↑
0.407%
from yesterday
Model RiskModel Risk
1.35
↓
0.001%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.47 | 2.56 | 3.06 | 2.64 | 2.89 | 3.23 | 2.98 | 1.35 |
| ES | 4.43 | 2.93 | 3.5 | 3.03 | 3.57 | 4.86 | 3.72 | 1.66 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
