Value-at-RiskVaR
2.29€
↓
0.032%
from yesterday
Expected ShortfallES
2.75€
↓
0.037%
from yesterday
25% Drop Probability25% Drop
4.1%
↓
0.061%
from yesterday
Years Until 25% Drop25% Freq.
24.5years
↑
0.36%
from yesterday
Model RiskModel Risk
1.29
↑
0.047%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.55 | 2.24 | 2.36 | 1.98 | 2.07 | 2.55 | 2.29 | 1.29 |
| ES | 3.19 | 2.57 | 2.7 | 2.26 | 2.47 | 3.3 | 2.75 | 1.46 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
