Value-at-RiskVaR
2.35€
↑
0.002%
from yesterday
Expected ShortfallES
2.9€
↑
0.002%
from yesterday
25% Drop Probability25% Drop
4.7%
↑
0.003%
from yesterday
Years Until 25% Drop25% Freq.
21.2years
↓
0.014%
from yesterday
Model RiskModel Risk
1.31
↑
0.017%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.71 | 2.14 | 2.07 | 2.14 | 2.37 | 2.64 | 2.35 | 1.31 |
| ES | 3.41 | 2.46 | 2.38 | 2.45 | 3.02 | 3.66 | 2.9 | 1.54 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
