Value-at-RiskVaR
3.69Rp
↑
0.143%
from yesterday
Expected ShortfallES
4.83Rp
↑
0.197%
from yesterday
25% Drop Probability25% Drop
9.4%
↑
0.544%
from yesterday
Years Until 25% Drop25% Freq.
10.7years
↓
0.658%
from yesterday
Model RiskModel Risk
2.18
↑
0.129%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.23 | 2.27 | 4.51 | 4.24 | 4.95 | 2.93 | 3.69 | 2.18 |
| ES | 4.74 | 2.6 | 5.16 | 4.86 | 6.36 | 5.24 | 4.83 | 2.45 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
