Value-at-RiskVaR
3.2₽
↓
0.016%
from yesterday
Expected ShortfallES
5.12₽
↓
0.02%
from yesterday
25% Drop Probability25% Drop
9.7%
↓
0.05%
from yesterday
Years Until 25% Drop25% Freq.
10.3years
↑
0.053%
from yesterday
Model RiskModel Risk
2.91
↓
0.319%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.06 | 4.77 | 1.64 | 1.9 | 2.18 | 4.64 | 3.2 | 2.91 |
| ES | 9.88 | 5.47 | 1.88 | 2.17 | 2.99 | 8.35 | 5.12 | 5.25 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
