Value-at-RiskVaR
2.28€
↓
0.071%
from yesterday
Expected ShortfallES
2.83€
↓
0.088%
from yesterday
25% Drop Probability25% Drop
4.7%
↓
0.186%
from yesterday
Years Until 25% Drop25% Freq.
21.1years
↑
0.794%
from yesterday
Model RiskModel Risk
1.29
↑
0.049%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.57 | 2.07 | 2.36 | 1.99 | 2.22 | 2.45 | 2.28 | 1.29 |
| ES | 3.24 | 2.37 | 2.71 | 2.28 | 2.85 | 3.53 | 2.83 | 1.54 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
