Value-at-RiskVaR
2.77€
↓
0.055%
from yesterday
Expected ShortfallES
3.26€
↓
0.049%
from yesterday
25% Drop Probability25% Drop
4.8%
↑
0.003%
from yesterday
Years Until 25% Drop25% Freq.
20.8years
↓
0.013%
from yesterday
Model RiskModel Risk
1.37
↑
0.065%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.17 | 2.79 | 2.93 | 2.32 | 2.43 | 3 | 2.77 | 1.37 |
| ES | 3.68 | 3.19 | 3.36 | 2.66 | 2.88 | 3.82 | 3.26 | 1.44 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
