Value-at-RiskVaR
3.16zł
↓
0.03%
from yesterday
Expected ShortfallES
3.88zł
↓
0.034%
from yesterday
25% Drop Probability25% Drop
6%
↓
0.053%
from yesterday
Years Until 25% Drop25% Freq.
16.5years
↑
0.144%
from yesterday
Model RiskModel Risk
1.05
↑
0.009%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.13 | 3.22 | 3.11 | 3.07 | 3.19 | 3.22 | 3.16 | 1.05 |
| ES | 4.29 | 3.69 | 3.56 | 3.51 | 3.79 | 4.44 | 3.88 | 1.26 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
