Value-at-RiskVaR
2.33€
↓
0.012%
from yesterday
Expected ShortfallES
2.97€
↓
0.014%
from yesterday
25% Drop Probability25% Drop
5%
↓
0.024%
from yesterday
Years Until 25% Drop25% Freq.
19.9years
↑
0.095%
from yesterday
Model RiskModel Risk
1.14
↓
0.006%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.49 | 2.2 | 2.19 | 2.27 | 2.34 | 2.46 | 2.33 | 1.14 |
| ES | 3.61 | 2.53 | 2.51 | 2.61 | 2.79 | 3.8 | 2.97 | 1.52 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
