Value-at-RiskVaR
3.04zł
↓
0.028%
from yesterday
Expected ShortfallES
3.74zł
↓
0.031%
from yesterday
25% Drop Probability25% Drop
5.8%
↓
0.051%
from yesterday
Years Until 25% Drop25% Freq.
17.2years
↑
0.149%
from yesterday
Model RiskModel Risk
1.15
↑
0.019%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.13 | 3.24 | 2.81 | 2.84 | 2.98 | 3.22 | 3.04 | 1.15 |
| ES | 4.29 | 3.71 | 3.22 | 3.26 | 3.56 | 4.44 | 3.75 | 1.38 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
