Value-at-RiskVaR
1.95₹
↓
0.056%
from yesterday
Expected ShortfallES
2.44₹
↓
0.065%
from yesterday
25% Drop Probability25% Drop
3.9%
↓
0.113%
from yesterday
Years Until 25% Drop25% Freq.
25.4years
↑
0.708%
from yesterday
Model RiskModel Risk
1.34
↑
0.038%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.12 | 1.91 | 2.15 | 1.61 | 1.81 | 2.12 | 1.95 | 1.34 |
| ES | 2.91 | 2.18 | 2.47 | 1.84 | 2.29 | 2.97 | 2.44 | 1.61 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
