Value-at-RiskVaR
2.13€
↓
0.047%
from yesterday
Expected ShortfallES
2.71€
↑
0.007%
from yesterday
25% Drop Probability25% Drop
5%
↑
0.36%
from yesterday
Years Until 25% Drop25% Freq.
20.2years
↓
1.583%
from yesterday
Model RiskModel Risk
1.93
↓
0.001%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.79 | 2.24 | 1.45 | 1.75 | 1.89 | 2.63 | 2.13 | 1.93 |
| ES | 3.47 | 2.57 | 1.66 | 2.01 | 2.34 | 4.21 | 2.71 | 2.54 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
