Value-at-RiskVaR
2.34€
↓
0.007%
from yesterday
Expected ShortfallES
2.99€
↓
0.009%
from yesterday
25% Drop Probability25% Drop
5.7%
↓
0.02%
from yesterday
Years Until 25% Drop25% Freq.
17.4years
↑
0.06%
from yesterday
Model RiskModel Risk
1.55
↓
0.007%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.94 | 2.19 | 2.42 | 1.89 | 2.08 | 2.52 | 2.34 | 1.55 |
| ES | 3.54 | 2.51 | 2.78 | 2.17 | 2.6 | 4.34 | 2.99 | 2 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
