Value-at-RiskVaR
2.52₪
↓
0.022%
from yesterday
Expected ShortfallES
3.07₪
↓
0.025%
from yesterday
25% Drop Probability25% Drop
4.7%
↓
0.041%
from yesterday
Years Until 25% Drop25% Freq.
21.2years
↑
0.183%
from yesterday
Model RiskModel Risk
1.49
↑
0.045%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.1 | 2.52 | 2.08 | 2.21 | 2.27 | 2.96 | 2.52 | 1.49 |
| ES | 3.86 | 2.89 | 2.38 | 2.53 | 2.76 | 4 | 3.07 | 1.68 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
