Value-at-RiskVaR
5.39₺
↑
0.681%
from yesterday
Expected ShortfallES
6.91₺
↑
0.808%
from yesterday
25% Drop Probability25% Drop
13%
↑
1.441%
from yesterday
Years Until 25% Drop25% Freq.
7.7years
↓
0.956%
from yesterday
Model RiskModel Risk
1.57
↓
0.125%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 5.43 | 4.23 | 4.91 | 6.65 | 6.33 | 4.81 | 5.39 | 1.57 |
| ES | 7.13 | 4.85 | 5.63 | 7.61 | 8.12 | 8.1 | 6.91 | 1.67 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
