Value-at-RiskVaR
2.63€
↓
0.042%
from yesterday
Expected ShortfallES
3.4€
↓
0.05%
from yesterday
25% Drop Probability25% Drop
6%
↓
0.085%
from yesterday
Years Until 25% Drop25% Freq.
16.6years
↑
0.232%
from yesterday
Model RiskModel Risk
1.5
↓
0.01%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.51 | 2.24 | 3.36 | 2.48 | 2.57 | 2.6 | 2.62 | 1.5 |
| ES | 3.84 | 2.57 | 3.85 | 2.84 | 3.08 | 4.23 | 3.4 | 1.65 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
