Value-at-RiskVaR
2.2€
↓
0.024%
from yesterday
Expected ShortfallES
2.74€
↓
0.062%
from yesterday
25% Drop Probability25% Drop
4.7%
↓
0.13%
from yesterday
Years Until 25% Drop25% Freq.
21.3years
↑
0.574%
from yesterday
Model RiskModel Risk
1.98
↓
0.065%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.87 | 2.31 | 1.45 | 1.83 | 2.01 | 2.71 | 2.2 | 1.98 |
| ES | 3.47 | 2.65 | 1.66 | 2.1 | 2.53 | 4.02 | 2.74 | 2.43 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
