Value-at-RiskVaR
2.88€
↓
0.089%
from yesterday
Expected ShortfallES
3.43€
↓
0.104%
from yesterday
25% Drop Probability25% Drop
5.2%
↓
0.177%
from yesterday
Years Until 25% Drop25% Freq.
19.3years
↑
0.637%
from yesterday
Model RiskModel Risk
1.45
↓
0.072%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.64 | 2.28 | 3.32 | 3.13 | 3.27 | 2.64 | 2.88 | 1.45 |
| ES | 3.28 | 2.61 | 3.8 | 3.59 | 3.89 | 3.38 | 3.43 | 1.49 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
