Value-at-RiskVaR
4.01₩
↓
0.189%
from yesterday
Expected ShortfallES
4.98₩
↓
0.227%
from yesterday
25% Drop Probability25% Drop
8.5%
↓
0.418%
from yesterday
Years Until 25% Drop25% Freq.
11.7years
↑
0.547%
from yesterday
Model RiskModel Risk
1.95
↓
0.007%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.56 | 2.91 | 5.69 | 4.12 | 4.43 | 3.36 | 4.01 | 1.95 |
| ES | 4.68 | 3.34 | 6.52 | 4.72 | 5.6 | 5.01 | 4.98 | 1.95 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
