Value-at-RiskVaR
2.73€
↑
0.055%
from yesterday
Expected ShortfallES
3.25€
↑
0.062%
from yesterday
25% Drop Probability25% Drop
4.9%
↑
0.098%
from yesterday
Years Until 25% Drop25% Freq.
20.5years
↓
0.421%
from yesterday
Model RiskModel Risk
1.33
Max/min VaR ratio
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.64 | 2.27 | 2.87 | 2.91 | 3.02 | 2.64 | 2.73 | 1.33 |
| ES | 3.28 | 2.6 | 3.29 | 3.34 | 3.59 | 3.38 | 3.25 | 1.38 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
