Value-at-RiskVaR
2.11€
↓
0.024%
from yesterday
Expected ShortfallES
2.62€
↓
0.028%
from yesterday
25% Drop Probability25% Drop
4.1%
↓
0.053%
from yesterday
Years Until 25% Drop25% Freq.
24.4years
↑
0.312%
from yesterday
Model RiskModel Risk
1.97
↑
0.056%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.9 | 2.28 | 1.54 | 1.47 | 1.63 | 2.84 | 2.11 | 1.97 |
| ES | 3.69 | 2.61 | 1.76 | 1.68 | 2.08 | 3.88 | 2.62 | 2.3 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
