Value-at-RiskVaR
2.48₹
↑
0.151%
from yesterday
Expected ShortfallES
3.04₹
↑
0.099%
from yesterday
25% Drop Probability25% Drop
5%
↑
0.029%
from yesterday
Years Until 25% Drop25% Freq.
20.2years
↓
0.119%
from yesterday
Model RiskModel Risk
1.62
↑
0.246%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.14 | 1.93 | 2.5 | 3.05 | 3.13 | 2.11 | 2.48 | 1.62 |
| ES | 2.87 | 2.22 | 2.86 | 3.5 | 3.89 | 2.91 | 3.04 | 1.76 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
