Value-at-RiskVaR
2.51€
↑
0.03%
from yesterday
Expected ShortfallES
3.02€
↑
0.033%
from yesterday
25% Drop Probability25% Drop
4.6%
↑
0.044%
from yesterday
Years Until 25% Drop25% Freq.
21.7years
↓
0.21%
from yesterday
Model RiskModel Risk
1.18
↓
0.011%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.64 | 2.27 | 2.67 | 2.38 | 2.49 | 2.6 | 2.51 | 1.18 |
| ES | 3.28 | 2.6 | 3.06 | 2.73 | 2.96 | 3.46 | 3.02 | 1.33 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
