Value-at-RiskVaR
2.66€
↓
0.039%
from yesterday
Expected ShortfallES
3.38€
↓
0.046%
from yesterday
25% Drop Probability25% Drop
6.1%
↓
0.083%
from yesterday
Years Until 25% Drop25% Freq.
16.4years
↑
0.22%
from yesterday
Model RiskModel Risk
2.49
↑
0.052%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.1 | 2.74 | 1.65 | 1.84 | 2.01 | 3.61 | 2.66 | 2.49 |
| ES | 4.95 | 3.14 | 1.89 | 2.11 | 2.49 | 5.73 | 3.38 | 3.03 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
