Value-at-RiskVaR
2.86₱
↓
0.039%
from yesterday
Expected ShortfallES
3.54₱
↓
0.047%
from yesterday
25% Drop Probability25% Drop
5.7%
↓
0.087%
from yesterday
Years Until 25% Drop25% Freq.
17.4years
↑
0.26%
from yesterday
Model RiskModel Risk
1.31
↓
0.002%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.98 | 2.53 | 3.31 | 2.6 | 2.81 | 2.92 | 2.86 | 1.31 |
| ES | 3.95 | 2.89 | 3.79 | 2.97 | 3.49 | 4.14 | 3.54 | 1.43 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
