Value-at-RiskVaR
1.8NZ$
↓
0.013%
from yesterday
Expected ShortfallES
2.17NZ$
↓
0.016%
from yesterday
25% Drop Probability25% Drop
3.5%
↓
0.03%
from yesterday
Years Until 25% Drop25% Freq.
28.8years
↑
0.247%
from yesterday
Model RiskModel Risk
1.21
↓
0.001%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.81 | 1.61 | 1.95 | 1.78 | 1.9 | 1.72 | 1.8 | 1.21 |
| ES | 2.23 | 1.85 | 2.23 | 2.04 | 2.33 | 2.36 | 2.17 | 1.28 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
