Value-at-RiskVaR
2.6₪
→
0%
from yesterday
Expected ShortfallES
3.16₪
→
0%
from yesterday
25% Drop Probability25% Drop
4.9%
↓
0.005%
from yesterday
Years Until 25% Drop25% Freq.
20.5years
↑
0.021%
from yesterday
Model RiskModel Risk
1.41
↓
0.101%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.1 | 2.52 | 2.2 | 2.36 | 2.46 | 2.96 | 2.6 | 1.41 |
| ES | 3.86 | 2.89 | 2.52 | 2.71 | 2.98 | 4 | 3.16 | 1.59 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
