Value-at-RiskVaR
2.69₪
↓
0.017%
from yesterday
Expected ShortfallES
3.26₪
↓
0.02%
from yesterday
25% Drop Probability25% Drop
5%
↓
0.036%
from yesterday
Years Until 25% Drop25% Freq.
19.8years
↑
0.141%
from yesterday
Model RiskModel Risk
1.32
↓
0.003%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.1 | 2.52 | 2.35 | 2.53 | 2.66 | 2.96 | 2.69 | 1.32 |
| ES | 3.86 | 2.88 | 2.69 | 2.9 | 3.23 | 4 | 3.26 | 1.49 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
