Value-at-RiskVaR
2.25₹
↓
0.069%
from yesterday
Expected ShortfallES
2.77₹
↓
0.082%
from yesterday
25% Drop Probability25% Drop
4.5%
↓
0.152%
from yesterday
Years Until 25% Drop25% Freq.
22.4years
↑
0.741%
from yesterday
Model RiskModel Risk
1.39
↓
0.065%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.03 | 1.9 | 2.65 | 2.21 | 2.61 | 2.08 | 2.25 | 1.39 |
| ES | 2.8 | 2.18 | 3.04 | 2.53 | 3.28 | 2.81 | 2.77 | 1.51 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
