Value-at-RiskVaR
3.21₽
↓
0.037%
from yesterday
Expected ShortfallES
5.14₽
↓
0.047%
from yesterday
25% Drop Probability25% Drop
9.7%
↓
0.101%
from yesterday
Years Until 25% Drop25% Freq.
10.3years
↑
0.106%
from yesterday
Model RiskModel Risk
2.95
↑
0.071%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.06 | 4.77 | 1.62 | 1.96 | 2.23 | 4.64 | 3.21 | 2.95 |
| ES | 9.88 | 5.46 | 1.85 | 2.25 | 3.06 | 8.35 | 5.14 | 5.33 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
