Value-at-RiskVaR
6.63₩
↓
0.278%
from yesterday
Expected ShortfallES
8.61₩
↓
0.334%
from yesterday
25% Drop Probability25% Drop
16.5%
↓
0.621%
from yesterday
Years Until 25% Drop25% Freq.
6.1years
↑
0.22%
from yesterday
Model RiskModel Risk
2.94
↓
0.008%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.96 | 3.4 | 10.01 | 9.02 | 9.2 | 4.18 | 6.63 | 2.94 |
| ES | 6.64 | 3.89 | 11.46 | 10.34 | 11.74 | 7.57 | 8.61 | 3.01 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
