Value-at-RiskVaR
2.63₽
↓
0.048%
from yesterday
Expected ShortfallES
3.42₽
↓
0.116%
from yesterday
25% Drop Probability25% Drop
5.7%
↓
0.46%
from yesterday
Years Until 25% Drop25% Freq.
17.5years
↑
1.298%
from yesterday
Model RiskModel Risk
2.54
↑
0.058%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.81 | 3.2 | 1.5 | 1.64 | 1.88 | 3.73 | 2.62 | 2.54 |
| ES | 5.31 | 3.66 | 1.72 | 1.88 | 2.49 | 5.46 | 3.42 | 3.18 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
