Value-at-RiskVaR
2.58€
↓
0.057%
from yesterday
Expected ShortfallES
3.33€
↓
0.069%
from yesterday
25% Drop Probability25% Drop
5.7%
↓
0.126%
from yesterday
Years Until 25% Drop25% Freq.
17.4years
↑
0.374%
from yesterday
Model RiskModel Risk
1.33
↑
0.008%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.42 | 2.24 | 2.98 | 2.66 | 2.72 | 2.49 | 2.58 | 1.33 |
| ES | 3.71 | 2.57 | 3.42 | 3.04 | 3.29 | 3.93 | 3.33 | 1.53 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
