Value-at-RiskVaR
1.94€
↓
0.024%
from yesterday
Expected ShortfallES
2.49€
↓
0.029%
from yesterday
25% Drop Probability25% Drop
4.2%
↓
0.049%
from yesterday
Years Until 25% Drop25% Freq.
23.9years
↑
0.276%
from yesterday
Model RiskModel Risk
1.61
↑
0.043%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.34 | 2.04 | 1.47 | 1.64 | 1.77 | 2.37 | 1.94 | 1.61 |
| ES | 3.31 | 2.34 | 1.69 | 1.88 | 2.22 | 3.51 | 2.49 | 2.08 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
