Value-at-RiskVaR
2.62₹
↓
0.106%
from yesterday
Expected ShortfallES
3.21₹
↓
0.126%
from yesterday
25% Drop Probability25% Drop
5.2%
↓
0.23%
from yesterday
Years Until 25% Drop25% Freq.
19.1years
↑
0.806%
from yesterday
Model RiskModel Risk
1.83
↓
0.028%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.25 | 1.94 | 3.54 | 2.65 | 3.12 | 2.23 | 2.62 | 1.83 |
| ES | 2.97 | 2.22 | 4.06 | 3.03 | 3.92 | 3.04 | 3.21 | 1.83 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
