Value-at-RiskVaR
2.41€
↓
0.072%
from yesterday
Expected ShortfallES
2.97€
↓
0.084%
from yesterday
25% Drop Probability25% Drop
4.9%
↓
0.148%
from yesterday
Years Until 25% Drop25% Freq.
20.5years
↑
0.604%
from yesterday
Model RiskModel Risk
1.41
↑
0.104%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.86 | 2.29 | 2.43 | 2.03 | 2.21 | 2.66 | 2.41 | 1.41 |
| ES | 3.51 | 2.63 | 2.78 | 2.33 | 2.75 | 3.81 | 2.97 | 1.64 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
