Value-at-RiskVaR
2.97₪
↓
0.046%
from yesterday
Expected ShortfallES
3.62₪
↓
0.054%
from yesterday
25% Drop Probability25% Drop
5.7%
↓
0.098%
from yesterday
Years Until 25% Drop25% Freq.
17.6years
↑
0.299%
from yesterday
Model RiskModel Risk
1.37
↑
0.012%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.92 | 2.52 | 3.46 | 2.91 | 3.19 | 2.85 | 2.97 | 1.37 |
| ES | 3.77 | 2.89 | 3.96 | 3.33 | 3.88 | 3.87 | 3.62 | 1.37 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
