Value-at-RiskVaR
6.16₩
↓
0.444%
from yesterday
Expected ShortfallES
7.97₩
↓
0.534%
from yesterday
25% Drop Probability25% Drop
15.2%
↓
1.001%
from yesterday
Years Until 25% Drop25% Freq.
6.6years
↑
0.406%
from yesterday
Model RiskModel Risk
3.22
↓
0.099%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.86 | 3.23 | 10.42 | 7.42 | 8.22 | 3.81 | 6.16 | 3.22 |
| ES | 6.25 | 3.71 | 11.93 | 8.5 | 10.48 | 6.94 | 7.97 | 3.22 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
