Value-at-RiskVaR
2.07₹
↓
0.03%
from yesterday
Expected ShortfallES
2.65₹
↓
0.027%
from yesterday
25% Drop Probability25% Drop
4.5%
↑
0.021%
from yesterday
Years Until 25% Drop25% Freq.
22.1years
↓
0.103%
from yesterday
Model RiskModel Risk
1.12
↓
0.106%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.16 | 1.95 | 1.98 | 1.98 | 2.14 | 2.19 | 2.07 | 1.12 |
| ES | 3.14 | 2.24 | 2.26 | 2.27 | 2.73 | 3.26 | 2.65 | 1.46 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
