Value-at-RiskVaR
2.36€
↑
0.01%
from yesterday
Expected ShortfallES
2.83€
↑
0.012%
from yesterday
25% Drop Probability25% Drop
4.4%
↑
0.018%
from yesterday
Years Until 25% Drop25% Freq.
22.7years
↓
0.093%
from yesterday
Model RiskModel Risk
1.71
↓
0.028%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.05 | 2.3 | 1.78 | 2.06 | 2.19 | 2.75 | 2.36 | 1.71 |
| ES | 3.52 | 2.64 | 2.04 | 2.36 | 2.69 | 3.72 | 2.83 | 1.82 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
