Value-at-RiskVaR
2.7₽
↓
0.019%
from yesterday
Expected ShortfallES
3.57₽
↑
0.008%
from yesterday
25% Drop Probability25% Drop
6.3%
↑
0.227%
from yesterday
Years Until 25% Drop25% Freq.
15.9years
↓
0.599%
from yesterday
Model RiskModel Risk
2.68
↓
0.004%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.91 | 3.31 | 1.46 | 1.67 | 1.94 | 3.88 | 2.69 | 2.68 |
| ES | 5.51 | 3.79 | 1.67 | 1.92 | 2.6 | 5.92 | 3.57 | 3.54 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
