Value-at-RiskVaR
2.12₹
↑
0.194%
from yesterday
Expected ShortfallES
2.71₹
↑
0.234%
from yesterday
25% Drop Probability25% Drop
4.6%
↑
0.411%
from yesterday
Years Until 25% Drop25% Freq.
22years
↓
2.178%
from yesterday
Model RiskModel Risk
1.5
↓
0.434%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.25 | 1.97 | 1.6 | 2.27 | 2.39 | 2.26 | 2.12 | 1.5 |
| ES | 3.23 | 2.26 | 1.83 | 2.6 | 3.03 | 3.3 | 2.71 | 1.8 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
