Value-at-RiskVaR
3.18zł
↓
0.011%
from yesterday
Expected ShortfallES
4.02zł
↓
0.013%
from yesterday
25% Drop Probability25% Drop
6.6%
↓
0.023%
from yesterday
Years Until 25% Drop25% Freq.
15years
↑
0.052%
from yesterday
Model RiskModel Risk
1.68
↑
0.043%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.93 | 3.5 | 2.34 | 2.78 | 2.96 | 3.59 | 3.18 | 1.68 |
| ES | 5.26 | 4.01 | 2.68 | 3.18 | 3.59 | 5.38 | 4.02 | 2.01 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
