Value-at-RiskVaR
2.6€
↓
0.041%
from yesterday
Expected ShortfallES
3.21€
↓
0.049%
from yesterday
25% Drop Probability25% Drop
5.5%
↓
0.086%
from yesterday
Years Until 25% Drop25% Freq.
18.1years
↑
0.277%
from yesterday
Model RiskModel Risk
1.32
↓
0.001%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.94 | 2.23 | 2.64 | 2.42 | 2.67 | 2.73 | 2.6 | 1.32 |
| ES | 3.54 | 2.56 | 3.02 | 2.77 | 3.28 | 4.11 | 3.21 | 1.61 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
