Value-at-RiskVaR
2.28€
↓
0.05%
from yesterday
Expected ShortfallES
2.89€
↓
0.06%
from yesterday
25% Drop Probability25% Drop
4.9%
↓
0.112%
from yesterday
Years Until 25% Drop25% Freq.
20.4years
↑
0.455%
from yesterday
Model RiskModel Risk
1.33
↓
0.002%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.34 | 2.06 | 2.68 | 2.02 | 2.25 | 2.34 | 2.28 | 1.33 |
| ES | 3.25 | 2.36 | 3.07 | 2.32 | 2.85 | 3.47 | 2.89 | 1.5 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
