Value-at-RiskVaR
2.61€
↓
0.039%
from yesterday
Expected ShortfallES
3.09€
↓
0.045%
from yesterday
25% Drop Probability25% Drop
4.5%
↓
0.074%
from yesterday
Years Until 25% Drop25% Freq.
22.4years
↑
0.365%
from yesterday
Model RiskModel Risk
1.74
↑
0.03%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.36 | 2.88 | 1.93 | 2.09 | 2.17 | 3.24 | 2.61 | 1.74 |
| ES | 3.95 | 3.3 | 2.21 | 2.4 | 2.57 | 4.12 | 3.09 | 1.86 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
