Value-at-RiskVaR
4.95₩
↑
1.005%
from yesterday
Expected ShortfallES
6.12₩
↑
1.198%
from yesterday
25% Drop Probability25% Drop
10.7%
↑
2.184%
from yesterday
Years Until 25% Drop25% Freq.
9.4years
↓
2.422%
from yesterday
Model RiskModel Risk
2.83
↑
0.832%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.45 | 2.87 | 4.35 | 8.12 | 7.63 | 3.3 | 4.95 | 2.83 |
| ES | 4.63 | 3.28 | 4.99 | 9.31 | 9.64 | 4.88 | 6.12 | 2.93 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
