Value-at-RiskVaR
2.62₱
↓
0.025%
from yesterday
Expected ShortfallES
3.19₱
↓
0.029%
from yesterday
25% Drop Probability25% Drop
5%
↓
0.055%
from yesterday
Years Until 25% Drop25% Freq.
20.2years
↑
0.221%
from yesterday
Model RiskModel Risk
1.21
↑
0.016%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.93 | 2.51 | 2.5 | 2.42 | 2.5 | 2.84 | 2.62 | 1.21 |
| ES | 3.73 | 2.87 | 2.86 | 2.77 | 3.06 | 3.85 | 3.19 | 1.39 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
