Value-at-RiskVaR
2.36€
↓
0.022%
from yesterday
Expected ShortfallES
2.93€
↓
0.026%
from yesterday
25% Drop Probability25% Drop
4.8%
↓
0.047%
from yesterday
Years Until 25% Drop25% Freq.
20.9years
↑
0.203%
from yesterday
Model RiskModel Risk
1.84
↑
0.015%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.1 | 2.43 | 1.68 | 1.95 | 2.03 | 2.96 | 2.36 | 1.84 |
| ES | 3.91 | 2.78 | 1.93 | 2.23 | 2.44 | 4.32 | 2.93 | 2.24 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
