Value-at-RiskVaR
2.21€
↓
0.024%
from yesterday
Expected ShortfallES
2.79€
↓
0.028%
from yesterday
25% Drop Probability25% Drop
4.8%
↓
0.046%
from yesterday
Years Until 25% Drop25% Freq.
20.9years
↑
0.199%
from yesterday
Model RiskModel Risk
2.19
↑
0.056%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.13 | 2.48 | 1.43 | 1.57 | 1.7 | 2.98 | 2.22 | 2.19 |
| ES | 3.85 | 2.84 | 1.63 | 1.8 | 2.11 | 4.48 | 2.79 | 2.74 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
