Value-at-RiskVaR
3.03₽
↑
0.039%
from yesterday
Expected ShortfallES
3.99₽
↑
0.05%
from yesterday
25% Drop Probability25% Drop
7%
↑
0.109%
from yesterday
Years Until 25% Drop25% Freq.
14.3years
↓
0.226%
from yesterday
Model RiskModel Risk
1.57
↑
0.006%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.55 | 3.07 | 2.31 | 2.63 | 3.01 | 3.61 | 3.03 | 1.57 |
| ES | 5.28 | 3.52 | 2.64 | 3.02 | 4 | 5.46 | 3.99 | 2.07 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
