Value-at-RiskVaR
2.16€
↓
0.025%
from yesterday
Expected ShortfallES
2.79€
↓
0.028%
from yesterday
25% Drop Probability25% Drop
4.8%
↓
0.046%
from yesterday
Years Until 25% Drop25% Freq.
20.7years
↑
0.195%
from yesterday
Model RiskModel Risk
1.82
↑
0.055%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.9 | 2.33 | 1.63 | 1.59 | 1.71 | 2.78 | 2.16 | 1.82 |
| ES | 3.99 | 2.67 | 1.87 | 1.83 | 2.06 | 4.35 | 2.79 | 2.38 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
