Value-at-RiskVaR
2.6€
↓
0.036%
from yesterday
Expected ShortfallES
3.24€
↓
0.042%
from yesterday
25% Drop Probability25% Drop
5.8%
↓
0.071%
from yesterday
Years Until 25% Drop25% Freq.
17.3years
↑
0.21%
from yesterday
Model RiskModel Risk
1.33
↓
0.035%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.94 | 2.21 | 2.92 | 2.34 | 2.58 | 2.59 | 2.6 | 1.33 |
| ES | 3.54 | 2.53 | 3.35 | 2.68 | 3.25 | 4.07 | 3.24 | 1.61 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
