Value-at-RiskVaR
2.62€
↓
0.112%
from yesterday
Expected ShortfallES
3.36€
↓
0.13%
from yesterday
25% Drop Probability25% Drop
5.9%
↓
0.227%
from yesterday
Years Until 25% Drop25% Freq.
17.1years
↑
0.636%
from yesterday
Model RiskModel Risk
1.44
↓
0.022%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.49 | 2.25 | 3.23 | 2.57 | 2.66 | 2.52 | 2.62 | 1.44 |
| ES | 3.72 | 2.57 | 3.7 | 2.94 | 3.21 | 4.02 | 3.36 | 1.56 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
