Value-at-RiskVaR
2.7€
↓
0.066%
from yesterday
Expected ShortfallES
3.36€
↓
0.065%
from yesterday
25% Drop Probability25% Drop
5.6%
↓
0.019%
from yesterday
Years Until 25% Drop25% Freq.
17.9years
↑
0.061%
from yesterday
Model RiskModel Risk
1.58
↑
0.09%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.42 | 2.5 | 2.73 | 2.17 | 2.36 | 3.05 | 2.7 | 1.58 |
| ES | 4.25 | 2.87 | 3.12 | 2.48 | 2.89 | 4.53 | 3.36 | 1.83 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
