Value-at-RiskVaR
3.23₩
↓
0.091%
from yesterday
Expected ShortfallES
4₩
↓
0.11%
from yesterday
25% Drop Probability25% Drop
6.6%
↓
0.203%
from yesterday
Years Until 25% Drop25% Freq.
15.2years
↑
0.457%
from yesterday
Model RiskModel Risk
1.39
↑
0.028%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.37 | 2.78 | 3.86 | 3 | 3.18 | 3.2 | 3.23 | 1.39 |
| ES | 4.43 | 3.18 | 4.43 | 3.43 | 3.98 | 4.57 | 4 | 1.44 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
