Value-at-RiskVaR
2.55₪
↓
0.01%
from yesterday
Expected ShortfallES
3.1₪
↓
0.012%
from yesterday
25% Drop Probability25% Drop
4.8%
↓
0.022%
from yesterday
Years Until 25% Drop25% Freq.
20.8years
↑
0.095%
from yesterday
Model RiskModel Risk
1.42
↑
0.02%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.08 | 2.5 | 2.17 | 2.31 | 2.4 | 2.86 | 2.55 | 1.42 |
| ES | 3.8 | 2.86 | 2.49 | 2.65 | 2.9 | 3.91 | 3.1 | 1.57 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
