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PSEI

PSEi
15 August 2025
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Returns

Returns chart for PSEI showing historical price movements

Data density with normal and t(3)

Data density chart for PSEI with normal and t(3) distributions

Value-at-Risk

Value-at-Risk chart for PSEI showing risk forecasts

Expected Shortfall

Expected Shortfall chart for PSEI showing tail risk measures

Risk forecasts

Type HS MA EWMA GARCH tGARCH EVT ModelRisk Mean
VaR 3.40000010 2.60000014 1.79999995 2.20000005 2.29999995 3.00000000 2.00000000 2.50000000
ES 3.90000010 2.89999986 2.00000000 2.50000000 2.89999986 4.30000019 2.09999990 3.09999990

Price drop given year

Price drop given year chart for PSEI showing historical decline patterns

Probability of price drop

Probability of price drop chart for PSEI showing risk event likelihood

Autocorrelations

Autocorrelation Function (ACF) plot showing return and squared return patterns for PSEI

Quantile-Quantile plots

Quantile-Quantile QQ plots for PSEI across various tail thicknesses.
Extreme Risk. Daily Market Risk Forecasts

Real-time market risk analysis and forecasts for global financial markets

© Jon Danielsson