Value-at-RiskVaR
2.83€
↓
0.154%
from yesterday
Expected ShortfallES
3.63€
↓
0.18%
from yesterday
25% Drop Probability25% Drop
6.4%
↓
0.308%
from yesterday
Years Until 25% Drop25% Freq.
15.7years
↑
0.723%
from yesterday
Model RiskModel Risk
1.68
↓
0.023%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.51 | 2.25 | 3.78 | 2.82 | 3 | 2.59 | 2.82 | 1.68 |
| ES | 3.84 | 2.58 | 4.33 | 3.23 | 3.59 | 4.21 | 3.63 | 1.68 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
