Value-at-RiskVaR
2.72€
↑
0.088%
from yesterday
Expected ShortfallES
3.35€
↑
0.103%
from yesterday
25% Drop Probability25% Drop
5.6%
↑
0.179%
from yesterday
Years Until 25% Drop25% Freq.
18years
↓
0.598%
from yesterday
Model RiskModel Risk
1.54
↑
0.064%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.71 | 2.15 | 2.55 | 2.99 | 3.3 | 2.65 | 2.72 | 1.54 |
| ES | 3.41 | 2.46 | 2.92 | 3.42 | 4.21 | 3.67 | 3.35 | 1.71 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
