Value-at-RiskVaR
2.27€
↓
0.028%
from yesterday
Expected ShortfallES
2.84€
↓
0.032%
from yesterday
25% Drop Probability25% Drop
4.9%
↓
0.055%
from yesterday
Years Until 25% Drop25% Freq.
20.5years
↑
0.229%
from yesterday
Model RiskModel Risk
1.94
↑
0.057%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.13 | 2.5 | 1.61 | 1.63 | 1.76 | 2.98 | 2.26 | 1.94 |
| ES | 3.85 | 2.86 | 1.84 | 1.86 | 2.17 | 4.48 | 2.84 | 2.43 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
