Value-at-RiskVaR
2.49₱
↓
0.004%
from yesterday
Expected ShortfallES
3.07₱
↓
0.004%
from yesterday
25% Drop Probability25% Drop
4.7%
↓
0.004%
from yesterday
Years Until 25% Drop25% Freq.
21.4years
↑
0.018%
from yesterday
Model RiskModel Risk
1.28
↓
0.015%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.62 | 2.47 | 2.54 | 2.19 | 2.33 | 2.8 | 2.49 | 1.28 |
| ES | 3.64 | 2.83 | 2.91 | 2.51 | 2.87 | 3.66 | 3.07 | 1.46 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
