Value-at-RiskVaR
2.52₱
↑
0.039%
from yesterday
Expected ShortfallES
3.1₱
↑
0.046%
from yesterday
25% Drop Probability25% Drop
4.7%
↑
0.083%
from yesterday
Years Until 25% Drop25% Freq.
21.2years
↓
0.379%
from yesterday
Model RiskModel Risk
1.19
↓
0.07%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.62 | 2.48 | 2.36 | 2.35 | 2.5 | 2.8 | 2.52 | 1.19 |
| ES | 3.64 | 2.84 | 2.71 | 2.69 | 3.07 | 3.66 | 3.1 | 1.36 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
