Value-at-RiskVaR
2.76€
↓
0.058%
from yesterday
Expected ShortfallES
3.56€
↓
0.072%
from yesterday
25% Drop Probability25% Drop
6.2%
↓
0.147%
from yesterday
Years Until 25% Drop25% Freq.
16.2years
↑
0.376%
from yesterday
Model RiskModel Risk
1.81
↓
0.242%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.51 | 2.67 | 1.94 | 2.4 | 2.55 | 3.47 | 2.76 | 1.81 |
| ES | 4.83 | 3.05 | 2.22 | 2.75 | 3.14 | 5.36 | 3.56 | 2.41 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
