Value-at-RiskVaR
2.32₹
↓
0.034%
from yesterday
Expected ShortfallES
2.9₹
↓
0.041%
from yesterday
25% Drop Probability25% Drop
4.8%
↓
0.081%
from yesterday
Years Until 25% Drop25% Freq.
20.8years
↑
0.345%
from yesterday
Model RiskModel Risk
1.68
↓
0.029%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.16 | 1.96 | 3.28 | 2.04 | 2.27 | 2.21 | 2.32 | 1.68 |
| ES | 3.02 | 2.24 | 3.76 | 2.34 | 2.84 | 3.2 | 2.9 | 1.68 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
