Value-at-RiskVaR
3.43HK$
↓
0.031%
from yesterday
Expected ShortfallES
4.5HK$
↓
0.035%
from yesterday
25% Drop Probability25% Drop
7.6%
↓
0.057%
from yesterday
Years Until 25% Drop25% Freq.
13.1years
↑
0.097%
from yesterday
Model RiskModel Risk
1.19
↑
0.016%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.47 | 3.72 | 3.13 | 3.22 | 3.44 | 3.58 | 3.43 | 1.19 |
| ES | 5.66 | 4.26 | 3.59 | 3.69 | 4.28 | 5.53 | 4.5 | 1.58 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
