Value-at-RiskVaR
3.13₩
↓
0.102%
from yesterday
Expected ShortfallES
3.88₩
↓
0.12%
from yesterday
25% Drop Probability25% Drop
6.4%
↓
0.21%
from yesterday
Years Until 25% Drop25% Freq.
15.7years
↑
0.504%
from yesterday
Model RiskModel Risk
1.37
↓
0.017%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.37 | 2.78 | 3.74 | 2.72 | 2.97 | 3.2 | 3.13 | 1.37 |
| ES | 4.43 | 3.18 | 4.28 | 3.12 | 3.72 | 4.57 | 3.88 | 1.47 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
