Value-at-RiskVaR
3.87HK$
↑
0.006%
from yesterday
Expected ShortfallES
5.06HK$
↑
0.004%
from yesterday
25% Drop Probability25% Drop
8.6%
↓
0.008%
from yesterday
Years Until 25% Drop25% Freq.
11.6years
↑
0.011%
from yesterday
Model RiskModel Risk
1.09
↓
0.101%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.73 | 3.86 | 3.85 | 3.88 | 4.07 | 3.83 | 3.87 | 1.09 |
| ES | 6.06 | 4.42 | 4.41 | 4.45 | 5.09 | 5.91 | 5.06 | 1.37 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
