Value-at-RiskVaR
2.41€
↓
0.026%
from yesterday
Expected ShortfallES
3€
↓
0.031%
from yesterday
25% Drop Probability25% Drop
4.9%
↓
0.059%
from yesterday
Years Until 25% Drop25% Freq.
20.6years
↑
0.247%
from yesterday
Model RiskModel Risk
1.41
↓
0.042%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.43 | 2.08 | 2.92 | 2.17 | 2.43 | 2.44 | 2.41 | 1.41 |
| ES | 3.3 | 2.38 | 3.35 | 2.49 | 3.09 | 3.38 | 3 | 1.42 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
