Value-at-RiskVaR
2.1€
↑
0.02%
from yesterday
Expected ShortfallES
2.67€
↑
0.025%
from yesterday
25% Drop Probability25% Drop
4.5%
↑
0.048%
from yesterday
Years Until 25% Drop25% Freq.
22.1years
↓
0.237%
from yesterday
Model RiskModel Risk
1.31
↓
0.068%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.34 | 2.06 | 2.09 | 1.79 | 1.96 | 2.34 | 2.1 | 1.31 |
| ES | 3.25 | 2.36 | 2.39 | 2.05 | 2.49 | 3.47 | 2.67 | 1.69 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
