Value-at-RiskVaR
1.86NZ$
↑
0.017%
from yesterday
Expected ShortfallES
2.26NZ$
↑
0.02%
from yesterday
25% Drop Probability25% Drop
3.6%
↑
0.034%
from yesterday
Years Until 25% Drop25% Freq.
27.6years
↓
0.261%
from yesterday
Model RiskModel Risk
1.21
↑
0.019%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.92 | 1.64 | 1.98 | 1.85 | 1.97 | 1.8 | 1.86 | 1.21 |
| ES | 2.38 | 1.88 | 2.27 | 2.12 | 2.42 | 2.49 | 2.26 | 1.33 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
