Value-at-RiskVaR
2.66€
↓
0.058%
from yesterday
Expected ShortfallES
3.29€
↓
0.073%
from yesterday
25% Drop Probability25% Drop
5.4%
↓
0.157%
from yesterday
Years Until 25% Drop25% Freq.
18.5years
↑
0.524%
from yesterday
Model RiskModel Risk
1.51
↓
0.178%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.43 | 2.07 | 3.11 | 2.79 | 3.13 | 2.44 | 2.66 | 1.51 |
| ES | 3.3 | 2.37 | 3.57 | 3.2 | 3.95 | 3.38 | 3.29 | 1.67 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
