Value-at-RiskVaR
3.33₽
↓
0.047%
from yesterday
Expected ShortfallES
5.37₽
↓
0.058%
from yesterday
25% Drop Probability25% Drop
10.9%
↓
0.116%
from yesterday
Years Until 25% Drop25% Freq.
9.2years
↑
0.096%
from yesterday
Model RiskModel Risk
2.96
↑
0.193%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.58 | 4.85 | 1.92 | 1.67 | 2.02 | 4.94 | 3.33 | 2.96 |
| ES | 10.33 | 5.56 | 2.2 | 1.91 | 2.77 | 9.45 | 5.37 | 5.42 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
