Value-at-RiskVaR
2.09NZ$
↓
0.014%
from yesterday
Expected ShortfallES
2.53NZ$
↓
0.016%
from yesterday
25% Drop Probability25% Drop
4.1%
↓
0.027%
from yesterday
Years Until 25% Drop25% Freq.
24.4years
↑
0.16%
from yesterday
Model RiskModel Risk
1.56
↑
0.033%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.92 | 1.64 | 2.57 | 2.25 | 2.39 | 1.8 | 2.09 | 1.56 |
| ES | 2.38 | 1.88 | 2.94 | 2.57 | 2.94 | 2.49 | 2.53 | 1.57 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
