Value-at-RiskVaR
2.44₹
↓
0.047%
from yesterday
Expected ShortfallES
2.99₹
↓
0.056%
from yesterday
25% Drop Probability25% Drop
4.8%
↓
0.111%
from yesterday
Years Until 25% Drop25% Freq.
20.8years
↑
0.468%
from yesterday
Model RiskModel Risk
1.71
↓
0.003%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.25 | 1.95 | 3.33 | 2.34 | 2.54 | 2.22 | 2.44 | 1.71 |
| ES | 2.97 | 2.23 | 3.81 | 2.68 | 3.21 | 3.03 | 2.99 | 1.71 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
