Value-at-RiskVaR
5.92₩
↑
0.767%
from yesterday
Expected ShortfallES
7.76₩
↑
0.889%
from yesterday
25% Drop Probability25% Drop
15%
↑
1.614%
from yesterday
Years Until 25% Drop25% Freq.
6.6years
↓
0.8%
from yesterday
Model RiskModel Risk
2.32
↑
0.254%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.35 | 3.55 | 6.9 | 8.23 | 8.17 | 4.34 | 5.92 | 2.32 |
| ES | 6.88 | 4.06 | 7.9 | 9.43 | 10.52 | 7.76 | 7.76 | 2.59 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
