Value-at-RiskVaR
3.48HK$
↑
0.04%
from yesterday
Expected ShortfallES
4.59HK$
↑
0.044%
from yesterday
25% Drop Probability25% Drop
7.7%
↑
0.059%
from yesterday
Years Until 25% Drop25% Freq.
13years
↓
0.1%
from yesterday
Model RiskModel Risk
1.47
↓
0.295%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.74 | 3.86 | 2.64 | 3.18 | 3.59 | 3.88 | 3.48 | 1.47 |
| ES | 6.08 | 4.42 | 3.02 | 3.64 | 4.52 | 5.84 | 4.59 | 2.01 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
