Value-at-RiskVaR
2.01€
↓
0.002%
from yesterday
Expected ShortfallES
2.73€
↓
0.003%
from yesterday
25% Drop Probability25% Drop
5.2%
↓
0.014%
from yesterday
Years Until 25% Drop25% Freq.
19.4years
↑
0.052%
from yesterday
Model RiskModel Risk
2.03
↑
0.041%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.59 | 2.29 | 1.31 | 1.56 | 1.67 | 2.66 | 2.01 | 2.03 |
| ES | 3.96 | 2.62 | 1.5 | 1.79 | 2 | 4.54 | 2.73 | 3.03 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
