Value-at-RiskVaR
2.43€
↓
0.041%
from yesterday
Expected ShortfallES
3€
↓
0.047%
from yesterday
25% Drop Probability25% Drop
5%
↓
0.075%
from yesterday
Years Until 25% Drop25% Freq.
19.9years
↑
0.293%
from yesterday
Model RiskModel Risk
1.85
↑
0.108%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.32 | 2.52 | 1.94 | 1.8 | 1.96 | 3.07 | 2.43 | 1.85 |
| ES | 3.93 | 2.89 | 2.22 | 2.06 | 2.44 | 4.48 | 3 | 2.18 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
