Value-at-RiskVaR
2.93₽
↓
0.046%
from yesterday
Expected ShortfallES
3.73₽
↓
0.18%
from yesterday
25% Drop Probability25% Drop
6.2%
↓
0.637%
from yesterday
Years Until 25% Drop25% Freq.
16.2years
↑
1.518%
from yesterday
Model RiskModel Risk
1.51
↓
0.023%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.51 | 3.02 | 2.33 | 2.47 | 2.78 | 3.48 | 2.93 | 1.51 |
| ES | 4.88 | 3.46 | 2.66 | 2.83 | 3.65 | 4.92 | 3.73 | 1.85 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
