Value-at-RiskVaR
5.27€
↓
0.046%
from yesterday
Expected ShortfallES
7.01€
↓
0.058%
from yesterday
25% Drop Probability25% Drop
14%
↓
0.125%
from yesterday
Years Until 25% Drop25% Freq.
7.1years
↑
0.063%
from yesterday
Model RiskModel Risk
1.57
↑
0.033%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 6.7 | 4.95 | 4.59 | 4.26 | 4.94 | 6.2 | 5.27 | 1.57 |
| ES | 8.9 | 5.67 | 5.26 | 4.88 | 6.9 | 10.47 | 7.01 | 2.15 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
