Value-at-RiskVaR
3.59HK$
↓
0.031%
from yesterday
Expected ShortfallES
4.71HK$
↓
0.036%
from yesterday
25% Drop Probability25% Drop
7.9%
↓
0.065%
from yesterday
Years Until 25% Drop25% Freq.
12.7years
↑
0.104%
from yesterday
Model RiskModel Risk
1.24
↓
0.006%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.74 | 3.86 | 3.14 | 3.34 | 3.6 | 3.88 | 3.59 | 1.24 |
| ES | 6.08 | 4.42 | 3.59 | 3.82 | 4.51 | 5.84 | 4.71 | 1.69 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
