Value-at-RiskVaR
3.33zł
↑
0.007%
from yesterday
Expected ShortfallES
4.08zł
↑
0.007%
from yesterday
25% Drop Probability25% Drop
6.3%
↑
0.011%
from yesterday
Years Until 25% Drop25% Freq.
15.9years
↓
0.028%
from yesterday
Model RiskModel Risk
1.14
↑
0.014%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.13 | 3.26 | 3.41 | 3.42 | 3.55 | 3.24 | 3.33 | 1.14 |
| ES | 4.29 | 3.73 | 3.91 | 3.92 | 4.22 | 4.39 | 4.08 | 1.18 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
