Value-at-RiskVaR
3.12zł
↓
0.036%
from yesterday
Expected ShortfallES
4.01zł
↓
0.042%
from yesterday
25% Drop Probability25% Drop
6.6%
↓
0.071%
from yesterday
Years Until 25% Drop25% Freq.
15.1years
↑
0.16%
from yesterday
Model RiskModel Risk
1.38
↑
0.028%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.5 | 3.47 | 2.53 | 2.76 | 2.97 | 3.49 | 3.12 | 1.38 |
| ES | 5.15 | 3.98 | 2.9 | 3.16 | 3.6 | 5.25 | 4.01 | 1.81 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
