Value-at-RiskVaR
2.56₱
↓
0.044%
from yesterday
Expected ShortfallES
3.15₱
↓
0.052%
from yesterday
25% Drop Probability25% Drop
4.8%
↓
0.092%
from yesterday
Years Until 25% Drop25% Freq.
21years
↑
0.397%
from yesterday
Model RiskModel Risk
1.17
↑
0.019%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.62 | 2.47 | 2.38 | 2.48 | 2.66 | 2.77 | 2.56 | 1.17 |
| ES | 3.64 | 2.83 | 2.72 | 2.85 | 3.25 | 3.61 | 3.15 | 1.34 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
