Value-at-RiskVaR
2.69₹
↓
0.186%
from yesterday
Expected ShortfallES
3.33₹
↓
0.22%
from yesterday
25% Drop Probability25% Drop
5.6%
↓
0.396%
from yesterday
Years Until 25% Drop25% Freq.
17.9years
↑
1.182%
from yesterday
Model RiskModel Risk
1.89
↓
0.036%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.16 | 1.95 | 3.67 | 2.86 | 3.26 | 2.21 | 2.69 | 1.89 |
| ES | 3.02 | 2.23 | 4.21 | 3.27 | 4.07 | 3.2 | 3.33 | 1.89 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
