Value-at-RiskVaR
1.72₹
↓
0.002%
from yesterday
Expected ShortfallES
2.23₹
↓
0.002%
from yesterday
25% Drop Probability25% Drop
3.8%
↓
0.003%
from yesterday
Years Until 25% Drop25% Freq.
26.5years
↑
0.021%
from yesterday
Model RiskModel Risk
2.28
↑
0.016%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.32 | 1.98 | 1.02 | 1.25 | 1.46 | 2.28 | 1.72 | 2.28 |
| ES | 3.27 | 2.27 | 1.17 | 1.43 | 1.84 | 3.43 | 2.23 | 2.94 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
