Value-at-RiskVaR
2.91€
↓
0.047%
from yesterday
Expected ShortfallES
3.59€
↓
0.063%
from yesterday
25% Drop Probability25% Drop
6%
↓
0.14%
from yesterday
Years Until 25% Drop25% Freq.
16.8years
↑
0.385%
from yesterday
Model RiskModel Risk
1.78
↓
0.202%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.43 | 2.08 | 3.48 | 3.3 | 3.71 | 2.44 | 2.91 | 1.78 |
| ES | 3.3 | 2.38 | 3.99 | 3.78 | 4.71 | 3.38 | 3.59 | 1.97 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
