Value-at-RiskVaR
2.65₽
↓
0.032%
from yesterday
Expected ShortfallES
3.47₽
↓
0.041%
from yesterday
25% Drop Probability25% Drop
6%
↓
0.084%
from yesterday
Years Until 25% Drop25% Freq.
16.8years
↑
0.234%
from yesterday
Model RiskModel Risk
2.41
↑
0.07%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.81 | 3.12 | 1.58 | 1.72 | 1.99 | 3.68 | 2.65 | 2.41 |
| ES | 5.31 | 3.57 | 1.81 | 1.97 | 2.64 | 5.52 | 3.47 | 3.05 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
