Value-at-RiskVaR
2.16€
↑
0.019%
from yesterday
Expected ShortfallES
2.68€
↑
0.023%
from yesterday
25% Drop Probability25% Drop
4.3%
↑
0.041%
from yesterday
Years Until 25% Drop25% Freq.
23.1years
↓
0.221%
from yesterday
Model RiskModel Risk
1.6
↓
0.066%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.71 | 2.16 | 1.88 | 1.69 | 1.88 | 2.64 | 2.16 | 1.6 |
| ES | 3.41 | 2.48 | 2.16 | 1.94 | 2.42 | 3.66 | 2.68 | 1.89 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
