Value-at-RiskVaR
2.09€
↑
0.102%
from yesterday
Expected ShortfallES
2.68€
↑
0.123%
from yesterday
25% Drop Probability25% Drop
4.5%
↑
0.234%
from yesterday
Years Until 25% Drop25% Freq.
22years
↓
1.196%
from yesterday
Model RiskModel Risk
1.55
↑
0.039%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.34 | 2.06 | 1.53 | 2.05 | 2.21 | 2.37 | 2.09 | 1.55 |
| ES | 3.31 | 2.36 | 1.75 | 2.35 | 2.79 | 3.51 | 2.68 | 2.01 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
