Value-at-RiskVaR
3.12₱
↓
0.108%
from yesterday
Expected ShortfallES
3.84₱
↓
0.129%
from yesterday
25% Drop Probability25% Drop
6.3%
↓
0.233%
from yesterday
Years Until 25% Drop25% Freq.
15.9years
↑
0.571%
from yesterday
Model RiskModel Risk
1.49
↓
0.035%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.98 | 2.53 | 3.77 | 3.13 | 3.36 | 2.92 | 3.12 | 1.49 |
| ES | 3.95 | 2.9 | 4.32 | 3.58 | 4.17 | 4.14 | 3.84 | 1.49 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
