Value-at-RiskVaR
2.17€
↑
0.009%
from yesterday
Expected ShortfallES
2.72€
↑
0.011%
from yesterday
25% Drop Probability25% Drop
4.5%
↑
0.021%
from yesterday
Years Until 25% Drop25% Freq.
22.3years
↓
0.105%
from yesterday
Model RiskModel Risk
2.64
↑
0.065%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.14 | 2.41 | 1.19 | 1.57 | 1.71 | 3 | 2.17 | 2.64 |
| ES | 3.9 | 2.76 | 1.36 | 1.79 | 2.11 | 4.37 | 2.72 | 3.21 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
