Value-at-RiskVaR
4.32₺
↓
0.013%
from yesterday
Expected ShortfallES
5.72₺
↓
0.016%
from yesterday
25% Drop Probability25% Drop
11.2%
↓
0.034%
from yesterday
Years Until 25% Drop25% Freq.
9years
↑
0.027%
from yesterday
Model RiskModel Risk
1.81
↑
0.052%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 5.43 | 4.21 | 3 | 3.95 | 4.44 | 4.87 | 4.32 | 1.81 |
| ES | 7.35 | 4.83 | 3.44 | 4.53 | 5.73 | 8.43 | 5.72 | 2.45 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
