Value-at-RiskVaR
3.05zł
↓
0.035%
from yesterday
Expected ShortfallES
3.73zł
↓
0.041%
from yesterday
25% Drop Probability25% Drop
5.6%
↓
0.065%
from yesterday
Years Until 25% Drop25% Freq.
17.8years
↑
0.204%
from yesterday
Model RiskModel Risk
1.21
↑
0.034%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.13 | 3.3 | 2.73 | 2.87 | 2.98 | 3.28 | 3.05 | 1.21 |
| ES | 4.29 | 3.78 | 3.13 | 3.29 | 3.53 | 4.35 | 3.73 | 1.39 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
