Value-at-RiskVaR
3.63HK$
↓
0.029%
from yesterday
Expected ShortfallES
4.75HK$
↓
0.034%
from yesterday
25% Drop Probability25% Drop
7.9%
↓
0.059%
from yesterday
Years Until 25% Drop25% Freq.
12.6years
↑
0.093%
from yesterday
Model RiskModel Risk
1.23
↑
0.026%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.74 | 3.86 | 3.16 | 3.43 | 3.69 | 3.88 | 3.63 | 1.23 |
| ES | 6.08 | 4.42 | 3.62 | 3.93 | 4.62 | 5.84 | 4.75 | 1.68 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
