Value-at-RiskVaR
3.16₩
↑
0.019%
from yesterday
Expected ShortfallES
3.93₩
↑
0.023%
from yesterday
25% Drop Probability25% Drop
6.4%
↑
0.038%
from yesterday
Years Until 25% Drop25% Freq.
15.5years
↓
0.092%
from yesterday
Model RiskModel Risk
1.3
↓
0.034%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.37 | 2.79 | 3.61 | 2.89 | 3.12 | 3.2 | 3.16 | 1.3 |
| ES | 4.43 | 3.19 | 4.13 | 3.31 | 3.92 | 4.57 | 3.93 | 1.43 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
