Value-at-RiskVaR
2.66₪
↓
0.023%
from yesterday
Expected ShortfallES
3.27₪
↓
0.026%
from yesterday
25% Drop Probability25% Drop
5.1%
↓
0.046%
from yesterday
Years Until 25% Drop25% Freq.
19.6years
↑
0.175%
from yesterday
Model RiskModel Risk
1.23
↑
0.019%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.92 | 2.54 | 2.8 | 2.37 | 2.48 | 2.87 | 2.66 | 1.23 |
| ES | 3.82 | 2.91 | 3.21 | 2.72 | 3.01 | 3.93 | 3.27 | 1.45 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
