Value-at-RiskVaR
2.18€
↓
0.062%
from yesterday
Expected ShortfallES
2.73€
↓
0.076%
from yesterday
25% Drop Probability25% Drop
4.7%
↓
0.148%
from yesterday
Years Until 25% Drop25% Freq.
21.3years
↑
0.649%
from yesterday
Model RiskModel Risk
1.32
↑
0.003%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.57 | 2.03 | 1.96 | 1.95 | 2.16 | 2.41 | 2.18 | 1.32 |
| ES | 3.24 | 2.32 | 2.24 | 2.23 | 2.77 | 3.58 | 2.73 | 1.61 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
