Value-at-RiskVaR
1.76₹
↑
0.011%
from yesterday
Expected ShortfallES
2.31₹
↑
0.013%
from yesterday
25% Drop Probability25% Drop
4%
↑
0.025%
from yesterday
Years Until 25% Drop25% Freq.
24.8years
↓
0.155%
from yesterday
Model RiskModel Risk
2.19
↑
0.06%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.32 | 1.99 | 1.06 | 1.36 | 1.56 | 2.28 | 1.76 | 2.19 |
| ES | 3.29 | 2.28 | 1.21 | 1.56 | 1.96 | 3.54 | 2.31 | 2.92 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
