Value-at-RiskVaR
2.29₹
↓
0.078%
from yesterday
Expected ShortfallES
2.81₹
↓
0.093%
from yesterday
25% Drop Probability25% Drop
4.5%
↓
0.166%
from yesterday
Years Until 25% Drop25% Freq.
22.3years
↑
0.797%
from yesterday
Model RiskModel Risk
1.48
↓
0.008%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.25 | 1.94 | 2.88 | 2.12 | 2.34 | 2.2 | 2.29 | 1.48 |
| ES | 2.96 | 2.22 | 3.3 | 2.43 | 2.97 | 2.97 | 2.81 | 1.48 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
