Value-at-RiskVaR
2.9₪
↓
0.05%
from yesterday
Expected ShortfallES
3.55₪
↓
0.059%
from yesterday
25% Drop Probability25% Drop
5.6%
↓
0.103%
from yesterday
Years Until 25% Drop25% Freq.
17.9years
↑
0.325%
from yesterday
Model RiskModel Risk
1.37
↓
0.02%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.92 | 2.54 | 3.47 | 2.69 | 2.93 | 2.87 | 2.9 | 1.37 |
| ES | 3.82 | 2.91 | 3.98 | 3.09 | 3.55 | 3.93 | 3.55 | 1.37 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
