Value-at-RiskVaR
2.27€
↓
0.029%
from yesterday
Expected ShortfallES
2.96€
↓
0.033%
from yesterday
25% Drop Probability25% Drop
5.1%
↓
0.055%
from yesterday
Years Until 25% Drop25% Freq.
19.6years
↑
0.208%
from yesterday
Model RiskModel Risk
1.34
↑
0.005%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.42 | 2.23 | 2.54 | 1.9 | 2.03 | 2.49 | 2.27 | 1.34 |
| ES | 3.71 | 2.56 | 2.9 | 2.17 | 2.46 | 3.93 | 2.96 | 1.81 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
