Value-at-RiskVaR
3.29zł
↓
0.02%
from yesterday
Expected ShortfallES
4.04zł
↓
0.022%
from yesterday
25% Drop Probability25% Drop
6.3%
↓
0.036%
from yesterday
Years Until 25% Drop25% Freq.
15.9years
↑
0.09%
from yesterday
Model RiskModel Risk
1.1
↓
0.028%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.13 | 3.23 | 3.4 | 3.33 | 3.45 | 3.22 | 3.29 | 1.1 |
| ES | 4.29 | 3.7 | 3.89 | 3.81 | 4.1 | 4.44 | 4.04 | 1.2 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
