Value-at-RiskVaR
2.47€
↓
0.047%
from yesterday
Expected ShortfallES
3.02€
↓
0.06%
from yesterday
25% Drop Probability25% Drop
4.7%
↓
0.129%
from yesterday
Years Until 25% Drop25% Freq.
21.2years
↑
0.562%
from yesterday
Model RiskModel Risk
1.33
↑
0.05%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.92 | 2.36 | 2.31 | 2.19 | 2.28 | 2.77 | 2.47 | 1.33 |
| ES | 3.66 | 2.7 | 2.64 | 2.51 | 2.69 | 3.88 | 3.02 | 1.55 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
