Value-at-RiskVaR
2.61€
↑
0.021%
from yesterday
Expected ShortfallES
3.04€
↑
0.024%
from yesterday
25% Drop Probability25% Drop
4.3%
↑
0.039%
from yesterday
Years Until 25% Drop25% Freq.
23.5years
↓
0.217%
from yesterday
Model RiskModel Risk
1.62
Max/min VaR ratio
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.24 | 2.76 | 2 | 2.24 | 2.31 | 3.12 | 2.61 | 1.62 |
| ES | 3.72 | 3.16 | 2.29 | 2.57 | 2.71 | 3.79 | 3.04 | 1.65 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
