Value-at-RiskVaR
3.34HK$
↓
0.009%
from yesterday
Expected ShortfallES
4.4HK$
↓
0.01%
from yesterday
25% Drop Probability25% Drop
7.4%
↓
0.088%
from yesterday
Years Until 25% Drop25% Freq.
13.4years
↑
0.157%
from yesterday
Model RiskModel Risk
1.32
↓
0.031%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.33 | 3.68 | 2.78 | 3.24 | 3.55 | 3.44 | 3.34 | 1.32 |
| ES | 5.57 | 4.21 | 3.18 | 3.71 | 4.39 | 5.33 | 4.4 | 1.75 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
