Value-at-RiskVaR
2.65€
↓
0.094%
from yesterday
Expected ShortfallES
3.43€
↓
0.11%
from yesterday
25% Drop Probability25% Drop
6.1%
↓
0.19%
from yesterday
Years Until 25% Drop25% Freq.
16.4years
↑
0.497%
from yesterday
Model RiskModel Risk
1.54
↓
0.04%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.51 | 2.26 | 3.49 | 2.44 | 2.59 | 2.6 | 2.65 | 1.54 |
| ES | 3.84 | 2.59 | 3.99 | 2.8 | 3.14 | 4.23 | 3.43 | 1.63 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
