Value-at-RiskVaR
4.86Rp
↓
0.167%
from yesterday
Expected ShortfallES
6.26Rp
↓
0.205%
from yesterday
25% Drop Probability25% Drop
12.2%
↓
0.403%
from yesterday
Years Until 25% Drop25% Freq.
8.2years
↑
0.261%
from yesterday
Model RiskModel Risk
2.77
↓
0.188%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.6 | 2.54 | 6.32 | 6.16 | 7.03 | 3.51 | 4.86 | 2.77 |
| ES | 5.07 | 2.91 | 7.24 | 7.06 | 9.12 | 6.16 | 6.26 | 3.14 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
