Value-at-RiskVaR
2.4€
↑
0.024%
from yesterday
Expected ShortfallES
3.07€
↑
0.027%
from yesterday
25% Drop Probability25% Drop
5.2%
↑
0.041%
from yesterday
Years Until 25% Drop25% Freq.
19.3years
↓
0.153%
from yesterday
Model RiskModel Risk
1.3
↓
0.246%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.49 | 2.21 | 2.03 | 2.59 | 2.64 | 2.46 | 2.4 | 1.3 |
| ES | 3.61 | 2.54 | 2.33 | 2.97 | 3.16 | 3.8 | 3.07 | 1.64 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
