Value-at-RiskVaR
2.69€
↑
0.005%
from yesterday
Expected ShortfallES
3.18€
↑
0.006%
from yesterday
25% Drop Probability25% Drop
4.6%
↑
0.008%
from yesterday
Years Until 25% Drop25% Freq.
21.7years
↓
0.038%
from yesterday
Model RiskModel Risk
1.69
↓
0.133%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.36 | 2.88 | 1.99 | 2.29 | 2.37 | 3.24 | 2.69 | 1.69 |
| ES | 3.95 | 3.3 | 2.28 | 2.63 | 2.8 | 4.12 | 3.18 | 1.81 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
