Value-at-RiskVaR
3.09₪
↑
0.033%
from yesterday
Expected ShortfallES
3.77₪
↑
0.04%
from yesterday
25% Drop Probability25% Drop
6%
↑
0.074%
from yesterday
Years Until 25% Drop25% Freq.
16.7years
↓
0.21%
from yesterday
Model RiskModel Risk
1.39
↓
0.043%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.92 | 2.53 | 3.52 | 3.2 | 3.49 | 2.87 | 3.09 | 1.39 |
| ES | 3.82 | 2.9 | 4.03 | 3.66 | 4.24 | 3.93 | 3.77 | 1.46 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
