Value-at-RiskVaR
3.5zł
↓
0.014%
from yesterday
Expected ShortfallES
4.26zł
↓
0.001%
from yesterday
25% Drop Probability25% Drop
6.6%
↑
0.089%
from yesterday
Years Until 25% Drop25% Freq.
15.1years
↓
0.206%
from yesterday
Model RiskModel Risk
1.23
↓
0.012%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.13 | 3.27 | 3.77 | 3.72 | 3.84 | 3.24 | 3.5 | 1.23 |
| ES | 4.29 | 3.74 | 4.32 | 4.26 | 4.57 | 4.39 | 4.26 | 1.22 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
