Value-at-RiskVaR
2.34€
↓
0.005%
from yesterday
Expected ShortfallES
2.91€
↓
0.006%
from yesterday
25% Drop Probability25% Drop
4.8%
↓
0.012%
from yesterday
Years Until 25% Drop25% Freq.
21years
↑
0.053%
from yesterday
Model RiskModel Risk
1.74
↓
0.123%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.1 | 2.43 | 1.78 | 1.85 | 1.92 | 2.96 | 2.34 | 1.74 |
| ES | 3.91 | 2.78 | 2.04 | 2.12 | 2.31 | 4.32 | 2.91 | 2.11 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
