Value-at-RiskVaR
2.61₱
↓
0.008%
from yesterday
Expected ShortfallES
3.18₱
↓
0.011%
from yesterday
25% Drop Probability25% Drop
4.9%
↓
0.024%
from yesterday
Years Until 25% Drop25% Freq.
20.2years
↑
0.097%
from yesterday
Model RiskModel Risk
1.22
↓
0.018%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.93 | 2.5 | 2.45 | 2.4 | 2.53 | 2.84 | 2.61 | 1.22 |
| ES | 3.73 | 2.87 | 2.81 | 2.75 | 3.09 | 3.85 | 3.18 | 1.4 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
