Value-at-RiskVaR
2.25₹
↓
0.06%
from yesterday
Expected ShortfallES
2.88₹
↓
0.071%
from yesterday
25% Drop Probability25% Drop
5%
↓
0.13%
from yesterday
Years Until 25% Drop25% Freq.
19.9years
↑
0.5%
from yesterday
Model RiskModel Risk
1.24
↓
0.078%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.32 | 1.99 | 2.13 | 2.33 | 2.46 | 2.27 | 2.25 | 1.24 |
| ES | 3.29 | 2.28 | 2.44 | 2.67 | 3.13 | 3.49 | 2.88 | 1.53 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
