Value-at-RiskVaR
2.03€
↓
0.046%
from yesterday
Expected ShortfallES
2.57€
↓
0.055%
from yesterday
25% Drop Probability25% Drop
4.2%
↓
0.103%
from yesterday
Years Until 25% Drop25% Freq.
24years
↑
0.577%
from yesterday
Model RiskModel Risk
1.85
↑
0.059%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.43 | 2.16 | 1.33 | 1.8 | 1.98 | 2.47 | 2.03 | 1.85 |
| ES | 3.38 | 2.47 | 1.53 | 2.06 | 2.53 | 3.47 | 2.57 | 2.28 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
