Value-at-RiskVaR
1.58NZ$
↓
0.008%
from yesterday
Expected ShortfallES
1.94NZ$
↓
0.01%
from yesterday
25% Drop Probability25% Drop
3.1%
↓
0.018%
from yesterday
Years Until 25% Drop25% Freq.
32.2years
↑
0.186%
from yesterday
Model RiskModel Risk
1.49
↓
0.009%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.9 | 1.64 | 1.28 | 1.37 | 1.48 | 1.81 | 1.58 | 1.49 |
| ES | 2.39 | 1.88 | 1.46 | 1.57 | 1.81 | 2.54 | 1.94 | 1.73 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
