Value-at-RiskVaR
5.27₩
↓
0.253%
from yesterday
Expected ShortfallES
6.93₩
↓
0.304%
from yesterday
25% Drop Probability25% Drop
13.1%
↓
0.57%
from yesterday
Years Until 25% Drop25% Freq.
7.6years
↑
0.318%
from yesterday
Model RiskModel Risk
2.05
↓
0.06%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.35 | 3.62 | 7.41 | 5.53 | 6.36 | 4.37 | 5.27 | 2.05 |
| ES | 6.88 | 4.15 | 8.49 | 6.33 | 8.22 | 7.51 | 6.93 | 2.05 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
