Value-at-RiskVaR
3.48HK$
↑
0.031%
from yesterday
Expected ShortfallES
4.58HK$
↑
0.037%
from yesterday
25% Drop Probability25% Drop
7.7%
↑
0.065%
from yesterday
Years Until 25% Drop25% Freq.
13years
↓
0.111%
from yesterday
Model RiskModel Risk
1.49
↓
0.026%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.74 | 3.87 | 2.6 | 3.2 | 3.58 | 3.88 | 3.48 | 1.49 |
| ES | 6.08 | 4.43 | 2.98 | 3.66 | 4.51 | 5.84 | 4.58 | 2.04 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
