Value-at-RiskVaR
1.53NZ$
↓
0.007%
from yesterday
Expected ShortfallES
1.88NZ$
↓
0.008%
from yesterday
25% Drop Probability25% Drop
3%
↓
0.015%
from yesterday
Years Until 25% Drop25% Freq.
33.8years
↑
0.171%
from yesterday
Model RiskModel Risk
1.68
↑
0.001%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.9 | 1.66 | 1.13 | 1.29 | 1.38 | 1.83 | 1.53 | 1.68 |
| ES | 2.39 | 1.9 | 1.29 | 1.47 | 1.69 | 2.53 | 1.88 | 1.95 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
