Value-at-RiskVaR
2.06₹
↓
0.031%
from yesterday
Expected ShortfallES
2.66₹
↓
0.038%
from yesterday
25% Drop Probability25% Drop
4.6%
↓
0.07%
from yesterday
Years Until 25% Drop25% Freq.
21.5years
↑
0.32%
from yesterday
Model RiskModel Risk
1.17
↑
0.032%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.25 | 1.97 | 1.96 | 1.92 | 2.06 | 2.22 | 2.06 | 1.17 |
| ES | 3.24 | 2.25 | 2.24 | 2.2 | 2.62 | 3.42 | 2.67 | 1.56 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
