Value-at-RiskVaR
3.6₽
↑
0.115%
from yesterday
Expected ShortfallES
5.71₽
↑
0.146%
from yesterday
25% Drop Probability25% Drop
11.6%
↑
0.321%
from yesterday
Years Until 25% Drop25% Freq.
8.6years
↓
0.245%
from yesterday
Model RiskModel Risk
2.15
↓
0.532%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.58 | 4.86 | 2.34 | 2.29 | 2.59 | 4.94 | 3.6 | 2.15 |
| ES | 10.33 | 5.57 | 2.68 | 2.63 | 3.57 | 9.45 | 5.71 | 3.94 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
