Value-at-RiskVaR
2.11€
↓
0.038%
from yesterday
Expected ShortfallES
2.62€
↓
0.045%
from yesterday
25% Drop Probability25% Drop
4%
↓
0.08%
from yesterday
Years Until 25% Drop25% Freq.
24.8years
↑
0.481%
from yesterday
Model RiskModel Risk
1.9
↑
0.057%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.8 | 2.25 | 1.48 | 1.59 | 1.76 | 2.8 | 2.11 | 1.9 |
| ES | 3.63 | 2.58 | 1.69 | 1.82 | 2.24 | 3.75 | 2.62 | 2.21 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
