Value-at-RiskVaR
4.38₩
↓
0.178%
from yesterday
Expected ShortfallES
5.92₩
↓
0.214%
from yesterday
25% Drop Probability25% Drop
11.6%
↓
0.398%
from yesterday
Years Until 25% Drop25% Freq.
8.6years
↑
0.287%
from yesterday
Model RiskModel Risk
2.29
↑
0.051%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.96 | 3.44 | 7.48 | 3.27 | 3.94 | 4.18 | 4.38 | 2.29 |
| ES | 6.64 | 3.94 | 8.57 | 3.74 | 5.06 | 7.57 | 5.92 | 2.29 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
