Value-at-RiskVaR
3.41zł
↑
0.025%
from yesterday
Expected ShortfallES
4.28zł
↑
0.028%
from yesterday
25% Drop Probability25% Drop
7.1%
↑
0.045%
from yesterday
Years Until 25% Drop25% Freq.
14.1years
↓
0.09%
from yesterday
Model RiskModel Risk
1.39
↓
0.146%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.93 | 3.5 | 2.82 | 3.25 | 3.35 | 3.59 | 3.41 | 1.39 |
| ES | 5.26 | 4.01 | 3.23 | 3.73 | 4.06 | 5.38 | 4.28 | 1.67 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
