Value-at-RiskVaR
3.2₪
↓
0.074%
from yesterday
Expected ShortfallES
3.92₪
↓
0.087%
from yesterday
25% Drop Probability25% Drop
6.4%
↓
0.152%
from yesterday
Years Until 25% Drop25% Freq.
15.6years
↑
0.36%
from yesterday
Model RiskModel Risk
1.46
↓
0.039%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.1 | 2.56 | 3.73 | 3.3 | 3.6 | 2.9 | 3.2 | 1.46 |
| ES | 3.97 | 2.93 | 4.28 | 3.78 | 4.38 | 4.18 | 3.92 | 1.49 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
