Value-at-RiskVaR
1.76₹
↓
0.006%
from yesterday
Expected ShortfallES
2.28₹
↓
0.007%
from yesterday
25% Drop Probability25% Drop
3.8%
↓
0.012%
from yesterday
Years Until 25% Drop25% Freq.
26.2years
↑
0.082%
from yesterday
Model RiskModel Risk
2.09
↓
0.054%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.32 | 2 | 1.11 | 1.31 | 1.51 | 2.31 | 1.76 | 2.09 |
| ES | 3.27 | 2.29 | 1.27 | 1.5 | 1.91 | 3.42 | 2.28 | 2.69 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
