Value-at-RiskVaR
1.94NZ$
↓
0.003%
from yesterday
Expected ShortfallES
2.37NZ$
↓
0.004%
from yesterday
25% Drop Probability25% Drop
3.7%
↓
0.007%
from yesterday
Years Until 25% Drop25% Freq.
26.7years
↑
0.05%
from yesterday
Model RiskModel Risk
1.34
↓
0.001%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.81 | 1.64 | 2.2 | 2.04 | 2.18 | 1.8 | 1.94 | 1.34 |
| ES | 2.36 | 1.88 | 2.51 | 2.34 | 2.69 | 2.42 | 2.37 | 1.43 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
