Value-at-RiskVaR
2.42₱
↓
0.004%
from yesterday
Expected ShortfallES
2.99₱
↓
0.004%
from yesterday
25% Drop Probability25% Drop
4.5%
↓
0.006%
from yesterday
Years Until 25% Drop25% Freq.
22.2years
↑
0.03%
from yesterday
Model RiskModel Risk
1.31
↑
0.029%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.62 | 2.47 | 2.13 | 2.2 | 2.35 | 2.79 | 2.42 | 1.31 |
| ES | 3.64 | 2.83 | 2.44 | 2.52 | 2.88 | 3.63 | 2.99 | 1.49 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
