Value-at-RiskVaR
3.13₪
↓
0.066%
from yesterday
Expected ShortfallES
3.84₪
↓
0.078%
from yesterday
25% Drop Probability25% Drop
6.3%
↓
0.135%
from yesterday
Years Until 25% Drop25% Freq.
15.9years
↑
0.334%
from yesterday
Model RiskModel Risk
1.43
↓
0.029%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.1 | 2.56 | 3.66 | 3.14 | 3.43 | 2.9 | 3.13 | 1.43 |
| ES | 3.97 | 2.93 | 4.19 | 3.6 | 4.18 | 4.18 | 3.84 | 1.43 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
