Value-at-RiskVaR
3.22zł
↓
0.032%
from yesterday
Expected ShortfallES
3.95zł
↓
0.037%
from yesterday
25% Drop Probability25% Drop
6.1%
↓
0.06%
from yesterday
Years Until 25% Drop25% Freq.
16.4years
↑
0.161%
from yesterday
Model RiskModel Risk
1.05
↓
0.02%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.13 | 3.25 | 3.25 | 3.16 | 3.29 | 3.24 | 3.22 | 1.05 |
| ES | 4.29 | 3.73 | 3.73 | 3.62 | 3.91 | 4.39 | 3.95 | 1.21 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
