Value-at-RiskVaR
2.69₱
↓
0.011%
from yesterday
Expected ShortfallES
3.3₱
↓
0.015%
from yesterday
25% Drop Probability25% Drop
5.2%
↓
0.038%
from yesterday
Years Until 25% Drop25% Freq.
19.1years
↑
0.137%
from yesterday
Model RiskModel Risk
1.22
↓
0.069%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.98 | 2.52 | 2.55 | 2.43 | 2.8 | 2.89 | 2.69 | 1.22 |
| ES | 3.8 | 2.88 | 2.92 | 2.79 | 3.43 | 3.99 | 3.3 | 1.43 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
