Value-at-RiskVaR
2.14€
↓
0.05%
from yesterday
Expected ShortfallES
2.68€
↓
0.042%
from yesterday
25% Drop Probability25% Drop
4.6%
↑
0.045%
from yesterday
Years Until 25% Drop25% Freq.
21.8years
↓
0.216%
from yesterday
Model RiskModel Risk
1.5
↑
0.077%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.57 | 2.04 | 2.16 | 1.72 | 1.92 | 2.41 | 2.14 | 1.5 |
| ES | 3.24 | 2.34 | 2.48 | 1.97 | 2.45 | 3.58 | 2.68 | 1.82 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
