Value-at-RiskVaR
3.41zł
↓
0.045%
from yesterday
Expected ShortfallES
4.17zł
↓
0.052%
from yesterday
25% Drop Probability25% Drop
6.5%
↓
0.088%
from yesterday
Years Until 25% Drop25% Freq.
15.5years
↑
0.209%
from yesterday
Model RiskModel Risk
1.18
↓
0.033%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.13 | 3.25 | 3.7 | 3.51 | 3.64 | 3.24 | 3.41 | 1.18 |
| ES | 4.29 | 3.73 | 4.24 | 4.02 | 4.33 | 4.39 | 4.17 | 1.18 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
