Value-at-RiskVaR
3.76HK$
↓
0.034%
from yesterday
Expected ShortfallES
4.93HK$
↓
0.029%
from yesterday
25% Drop Probability25% Drop
8.4%
↑
0.049%
from yesterday
Years Until 25% Drop25% Freq.
11.9years
↓
0.07%
from yesterday
Model RiskModel Risk
1.07
↓
0.054%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.73 | 3.85 | 3.61 | 3.68 | 3.88 | 3.83 | 3.76 | 1.07 |
| ES | 6.06 | 4.41 | 4.14 | 4.22 | 4.86 | 5.91 | 4.93 | 1.46 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
