Value-at-RiskVaR
2.1€
→
0%
from yesterday
Expected ShortfallES
2.61€
↑
0.001%
from yesterday
25% Drop Probability25% Drop
4%
↑
0.005%
from yesterday
Years Until 25% Drop25% Freq.
24.9years
↓
0.031%
from yesterday
Model RiskModel Risk
1.97
↑
0.016%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.8 | 2.25 | 1.42 | 1.59 | 1.76 | 2.8 | 2.1 | 1.97 |
| ES | 3.63 | 2.58 | 1.63 | 1.82 | 2.24 | 3.75 | 2.61 | 2.3 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
