Value-at-RiskVaR
1.58NZ$
↓
0.03%
from yesterday
Expected ShortfallES
1.96NZ$
↓
0.016%
from yesterday
25% Drop Probability25% Drop
3.2%
↑
0.056%
from yesterday
Years Until 25% Drop25% Freq.
31years
↓
0.548%
from yesterday
Model RiskModel Risk
1.4
↑
0.007%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.85 | 1.63 | 1.32 | 1.4 | 1.51 | 1.77 | 1.58 | 1.4 |
| ES | 2.38 | 1.87 | 1.52 | 1.6 | 1.85 | 2.56 | 1.96 | 1.69 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
