Value-at-RiskVaR
3.45HK$
↓
0.013%
from yesterday
Expected ShortfallES
4.55HK$
↓
0.016%
from yesterday
25% Drop Probability25% Drop
7.6%
↓
0.033%
from yesterday
Years Until 25% Drop25% Freq.
13.1years
↑
0.057%
from yesterday
Model RiskModel Risk
1.47
↑
0.034%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.74 | 3.86 | 2.63 | 3.13 | 3.49 | 3.88 | 3.45 | 1.47 |
| ES | 6.08 | 4.42 | 3.02 | 3.59 | 4.38 | 5.84 | 4.55 | 2.01 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
