Value-at-RiskVaR
4.61₺
↓
0.048%
from yesterday
Expected ShortfallES
5.89₺
↓
0.057%
from yesterday
25% Drop Probability25% Drop
10.7%
↓
0.104%
from yesterday
Years Until 25% Drop25% Freq.
9.4years
↑
0.09%
from yesterday
Model RiskModel Risk
1.29
↓
0.048%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 5.41 | 4.19 | 4.23 | 4.51 | 4.61 | 4.72 | 4.61 | 1.29 |
| ES | 7.04 | 4.81 | 4.85 | 5.16 | 5.92 | 7.58 | 5.89 | 1.58 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
