Value-at-RiskVaR
2.33€
↓
0.039%
from yesterday
Expected ShortfallES
2.88€
↓
0.072%
from yesterday
25% Drop Probability25% Drop
4.7%
↓
0.121%
from yesterday
Years Until 25% Drop25% Freq.
21.5years
↑
0.545%
from yesterday
Model RiskModel Risk
1.74
↓
0.07%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.99 | 2.39 | 1.71 | 1.98 | 2.05 | 2.83 | 2.33 | 1.74 |
| ES | 3.76 | 2.74 | 1.96 | 2.27 | 2.43 | 4.1 | 2.88 | 2.09 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
