Value-at-RiskVaR
1.81NZ$
↓
0.024%
from yesterday
Expected ShortfallES
2.21NZ$
↓
0.028%
from yesterday
25% Drop Probability25% Drop
3.5%
↓
0.049%
from yesterday
Years Until 25% Drop25% Freq.
28.8years
↑
0.4%
from yesterday
Model RiskModel Risk
1.18
↓
0.025%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.81 | 1.64 | 1.94 | 1.79 | 1.91 | 1.8 | 1.81 | 1.18 |
| ES | 2.36 | 1.88 | 2.22 | 2.05 | 2.36 | 2.42 | 2.21 | 1.29 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
