Value-at-RiskVaR
2.9₽
↑
0.04%
from yesterday
Expected ShortfallES
3.84₽
↑
0.041%
from yesterday
25% Drop Probability25% Drop
6.7%
↑
0.04%
from yesterday
Years Until 25% Drop25% Freq.
14.9years
↓
0.089%
from yesterday
Model RiskModel Risk
1.77
↓
0.367%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.55 | 3.08 | 2.04 | 2.37 | 2.78 | 3.61 | 2.9 | 1.77 |
| ES | 5.28 | 3.52 | 2.34 | 2.72 | 3.69 | 5.46 | 3.84 | 2.34 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
