Value-at-RiskVaR
2.27€
↓
0.011%
from yesterday
Expected ShortfallES
2.75€
↑
0.006%
from yesterday
25% Drop Probability25% Drop
4.2%
↑
0.119%
from yesterday
Years Until 25% Drop25% Freq.
23.8years
↓
0.696%
from yesterday
Model RiskModel Risk
1.23
↓
0.007%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.55 | 2.23 | 2.12 | 2.07 | 2.16 | 2.52 | 2.27 | 1.23 |
| ES | 3.19 | 2.56 | 2.43 | 2.37 | 2.57 | 3.37 | 2.75 | 1.42 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
