Value-at-RiskVaR
4.33₺
↑
0.009%
from yesterday
Expected ShortfallES
5.56₺
↑
0.01%
from yesterday
25% Drop Probability25% Drop
10.1%
↑
0.01%
from yesterday
Years Until 25% Drop25% Freq.
9.9years
↓
0.01%
from yesterday
Model RiskModel Risk
1.49
↑
0.027%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 5.41 | 4.18 | 3.63 | 3.8 | 4.24 | 4.72 | 4.33 | 1.49 |
| ES | 7.04 | 4.79 | 4.16 | 4.35 | 5.44 | 7.58 | 5.56 | 1.82 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
