Value-at-RiskVaR
3.27HK$
↓
0.019%
from yesterday
Expected ShortfallES
4.32HK$
↓
0.023%
from yesterday
25% Drop Probability25% Drop
7.4%
↓
0.041%
from yesterday
Years Until 25% Drop25% Freq.
13.5years
↑
0.074%
from yesterday
Model RiskModel Risk
1.4
↑
0.008%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.47 | 3.7 | 2.64 | 2.96 | 3.27 | 3.56 | 3.27 | 1.4 |
| ES | 5.66 | 4.24 | 3.02 | 3.39 | 4.06 | 5.57 | 4.32 | 1.87 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
