Value-at-RiskVaR
2.07NZ$
↑
0.003%
from yesterday
Expected ShortfallES
2.51NZ$
↑
0.003%
from yesterday
25% Drop Probability25% Drop
4%
↑
0.004%
from yesterday
Years Until 25% Drop25% Freq.
24.7years
↓
0.024%
from yesterday
Model RiskModel Risk
1.49
↓
0.027%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.92 | 1.64 | 2.45 | 2.24 | 2.37 | 1.8 | 2.07 | 1.49 |
| ES | 2.38 | 1.88 | 2.81 | 2.56 | 2.92 | 2.49 | 2.51 | 1.55 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
