Value-at-RiskVaR
2.93€
↑
0.183%
from yesterday
Expected ShortfallES
3.72€
↑
0.215%
from yesterday
25% Drop Probability25% Drop
6.5%
↑
0.373%
from yesterday
Years Until 25% Drop25% Freq.
15.4years
↓
0.938%
from yesterday
Model RiskModel Risk
1.59
↑
0.213%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.49 | 2.25 | 3.17 | 3.58 | 3.56 | 2.52 | 2.93 | 1.59 |
| ES | 3.72 | 2.58 | 3.63 | 4.1 | 4.3 | 4.02 | 3.73 | 1.67 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
