Value-at-RiskVaR
1.62NZ$
↑
0.033%
from yesterday
Expected ShortfallES
1.99NZ$
↑
0.037%
from yesterday
25% Drop Probability25% Drop
3.1%
↑
0.058%
from yesterday
Years Until 25% Drop25% Freq.
31.8years
↓
0.597%
from yesterday
Model RiskModel Risk
1.4
↓
0.344%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.9 | 1.66 | 1.36 | 1.44 | 1.55 | 1.83 | 1.62 | 1.4 |
| ES | 2.39 | 1.91 | 1.56 | 1.65 | 1.9 | 2.53 | 1.99 | 1.62 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
