Value-at-RiskVaR
1.89€
↓
0.016%
from yesterday
Expected ShortfallES
2.41€
↓
0.019%
from yesterday
25% Drop Probability25% Drop
3.9%
↓
0.032%
from yesterday
Years Until 25% Drop25% Freq.
25.9years
↑
0.213%
from yesterday
Model RiskModel Risk
2.24
↑
0.026%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.43 | 2.17 | 1.1 | 1.52 | 1.66 | 2.47 | 1.89 | 2.24 |
| ES | 3.38 | 2.48 | 1.26 | 1.74 | 2.11 | 3.47 | 2.41 | 2.75 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
