Value-at-RiskVaR
4.63₩
↓
0.241%
from yesterday
Expected ShortfallES
5.72₩
↓
0.29%
from yesterday
25% Drop Probability25% Drop
9.9%
↓
0.545%
from yesterday
Years Until 25% Drop25% Freq.
10.1years
↑
0.525%
from yesterday
Model RiskModel Risk
2.11
↓
0.325%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.56 | 2.88 | 5.83 | 6.08 | 6.09 | 3.36 | 4.63 | 2.11 |
| ES | 4.68 | 3.3 | 6.68 | 6.96 | 7.7 | 5.01 | 5.72 | 2.33 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
