Value-at-RiskVaR
2.63₱
↓
0.025%
from yesterday
Expected ShortfallES
3.26₱
↓
0.031%
from yesterday
25% Drop Probability25% Drop
5%
↓
0.063%
from yesterday
Years Until 25% Drop25% Freq.
19.9years
↑
0.246%
from yesterday
Model RiskModel Risk
1.14
↓
0.069%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.62 | 2.5 | 2.58 | 2.47 | 2.81 | 2.82 | 2.63 | 1.14 |
| ES | 3.7 | 2.86 | 2.95 | 2.83 | 3.43 | 3.76 | 3.26 | 1.33 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
