Value-at-RiskVaR
2.42₹
↑
0.097%
from yesterday
Expected ShortfallES
2.98₹
↑
0.109%
from yesterday
25% Drop Probability25% Drop
4.8%
↑
0.14%
from yesterday
Years Until 25% Drop25% Freq.
20.7years
↓
0.615%
from yesterday
Model RiskModel Risk
1.61
↑
0.16%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.03 | 1.91 | 2.51 | 2.94 | 3.06 | 2.08 | 2.42 | 1.61 |
| ES | 2.8 | 2.19 | 2.87 | 3.37 | 3.85 | 2.81 | 2.98 | 1.76 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
