Value-at-RiskVaR
2.61€
↑
0.042%
from yesterday
Expected ShortfallES
3.21€
↑
0.05%
from yesterday
25% Drop Probability25% Drop
5.3%
↑
0.091%
from yesterday
Years Until 25% Drop25% Freq.
18.7years
↓
0.324%
from yesterday
Model RiskModel Risk
1.41
↑
0.071%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.71 | 2.15 | 2.37 | 2.73 | 3.02 | 2.66 | 2.61 | 1.41 |
| ES | 3.41 | 2.46 | 2.71 | 3.13 | 3.84 | 3.72 | 3.21 | 1.56 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
