Value-at-RiskVaR
2.2₹
↓
0.046%
from yesterday
Expected ShortfallES
2.81₹
↓
0.055%
from yesterday
25% Drop Probability25% Drop
4.7%
↓
0.097%
from yesterday
Years Until 25% Drop25% Freq.
21.2years
↑
0.426%
from yesterday
Model RiskModel Risk
1.21
↓
0.062%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.25 | 1.97 | 2.07 | 2.28 | 2.39 | 2.26 | 2.21 | 1.21 |
| ES | 3.23 | 2.26 | 2.37 | 2.61 | 3.05 | 3.3 | 2.8 | 1.46 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
