Value-at-RiskVaR
2.53€
↑
0.031%
from yesterday
Expected ShortfallES
3.12€
↑
0.036%
from yesterday
25% Drop Probability25% Drop
5.1%
↑
0.062%
from yesterday
Years Until 25% Drop25% Freq.
19.8years
↓
0.245%
from yesterday
Model RiskModel Risk
1.42
↑
0.043%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.99 | 2.39 | 2.11 | 2.4 | 2.49 | 2.83 | 2.54 | 1.42 |
| ES | 3.76 | 2.74 | 2.42 | 2.75 | 2.96 | 4.1 | 3.12 | 1.7 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
