Value-at-RiskVaR
2.26€
↓
0.039%
from yesterday
Expected ShortfallES
2.8€
↓
0.047%
from yesterday
25% Drop Probability25% Drop
4.6%
↓
0.092%
from yesterday
Years Until 25% Drop25% Freq.
21.7years
↑
0.426%
from yesterday
Model RiskModel Risk
1.47
↑
0.077%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.71 | 2.1 | 2.22 | 1.84 | 2.06 | 2.62 | 2.26 | 1.47 |
| ES | 3.41 | 2.41 | 2.55 | 2.11 | 2.67 | 3.66 | 2.8 | 1.74 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
