Value-at-RiskVaR
2.18€
↑
0.118%
from yesterday
Expected ShortfallES
2.77€
↑
0.14%
from yesterday
25% Drop Probability25% Drop
5.1%
↑
0.25%
from yesterday
Years Until 25% Drop25% Freq.
19.8years
↓
1.027%
from yesterday
Model RiskModel Risk
2.18
↑
0.038%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.79 | 2.22 | 1.28 | 2.02 | 2.13 | 2.63 | 2.18 | 2.18 |
| ES | 3.47 | 2.55 | 1.47 | 2.32 | 2.62 | 4.21 | 2.77 | 2.87 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
