Value-at-RiskVaR
2.49₱
↓
0.005%
from yesterday
Expected ShortfallES
3.09₱
↓
0.006%
from yesterday
25% Drop Probability25% Drop
4.7%
↓
0.008%
from yesterday
Years Until 25% Drop25% Freq.
21.1years
↑
0.036%
from yesterday
Model RiskModel Risk
1.26
↑
0.04%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.62 | 2.49 | 2.24 | 2.35 | 2.43 | 2.82 | 2.49 | 1.26 |
| ES | 3.7 | 2.86 | 2.56 | 2.7 | 2.97 | 3.76 | 3.09 | 1.47 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
