Value-at-RiskVaR
2.33₹
↓
0.079%
from yesterday
Expected ShortfallES
2.9₹
↓
0.094%
from yesterday
25% Drop Probability25% Drop
4.8%
↓
0.172%
from yesterday
Years Until 25% Drop25% Freq.
20.9years
↑
0.723%
from yesterday
Model RiskModel Risk
1.46
↑
0.063%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.16 | 1.95 | 2.85 | 2.33 | 2.44 | 2.22 | 2.33 | 1.46 |
| ES | 3.02 | 2.24 | 3.26 | 2.67 | 3.08 | 3.16 | 2.9 | 1.46 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
