Value-at-RiskVaR
2.4€
↓
0.061%
from yesterday
Expected ShortfallES
3.02€
↓
0.072%
from yesterday
25% Drop Probability25% Drop
5%
↓
0.13%
from yesterday
Years Until 25% Drop25% Freq.
20.1years
↑
0.51%
from yesterday
Model RiskModel Risk
1.29
↓
0.028%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.43 | 2.06 | 2.67 | 2.21 | 2.57 | 2.47 | 2.4 | 1.29 |
| ES | 3.4 | 2.37 | 3.05 | 2.53 | 3.26 | 3.51 | 3.02 | 1.48 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
