Value-at-RiskVaR
2.11₹
↑
0.08%
from yesterday
Expected ShortfallES
2.71₹
↑
0.092%
from yesterday
25% Drop Probability25% Drop
4.7%
↑
0.153%
from yesterday
Years Until 25% Drop25% Freq.
21.2years
↓
0.709%
from yesterday
Model RiskModel Risk
1.36
↓
0.391%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.32 | 1.98 | 1.71 | 2.11 | 2.26 | 2.27 | 2.11 | 1.36 |
| ES | 3.29 | 2.27 | 1.96 | 2.42 | 2.85 | 3.49 | 2.71 | 1.78 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
