Value-at-RiskVaR
2.23€
↓
0.035%
from yesterday
Expected ShortfallES
2.76€
↓
0.041%
from yesterday
25% Drop Probability25% Drop
4.5%
↓
0.073%
from yesterday
Years Until 25% Drop25% Freq.
22.4years
↑
0.36%
from yesterday
Model RiskModel Risk
1.46
↑
0.069%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.71 | 2.14 | 1.98 | 1.85 | 2.06 | 2.64 | 2.23 | 1.46 |
| ES | 3.41 | 2.45 | 2.27 | 2.12 | 2.62 | 3.66 | 2.76 | 1.73 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
