Value-at-RiskVaR
2.57€
↓
0.027%
from yesterday
Expected ShortfallES
3.05€
↓
0.03%
from yesterday
25% Drop Probability25% Drop
4.4%
↓
0.049%
from yesterday
Years Until 25% Drop25% Freq.
22.8years
↑
0.252%
from yesterday
Model RiskModel Risk
1.75
↑
0.053%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.36 | 2.89 | 1.92 | 1.98 | 2.05 | 3.24 | 2.57 | 1.75 |
| ES | 3.95 | 3.31 | 2.2 | 2.26 | 2.43 | 4.12 | 3.05 | 1.87 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
