Value-at-RiskVaR
5.07₺
↓
0.109%
from yesterday
Expected ShortfallES
6.52₺
↓
0.13%
from yesterday
25% Drop Probability25% Drop
12.3%
↓
0.239%
from yesterday
Years Until 25% Drop25% Freq.
8.1years
↑
0.155%
from yesterday
Model RiskModel Risk
1.31
↓
0.053%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 5.43 | 4.24 | 5.26 | 5.14 | 5.53 | 4.81 | 5.07 | 1.31 |
| ES | 7.13 | 4.85 | 6.03 | 5.88 | 7.11 | 8.1 | 6.52 | 1.67 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
