Value-at-RiskVaR
2.58₱
↓
0.036%
from yesterday
Expected ShortfallES
3.17₱
↓
0.042%
from yesterday
25% Drop Probability25% Drop
4.8%
↓
0.076%
from yesterday
Years Until 25% Drop25% Freq.
20.7years
↑
0.32%
from yesterday
Model RiskModel Risk
1.15
↑
0.028%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.62 | 2.48 | 2.57 | 2.42 | 2.59 | 2.8 | 2.58 | 1.15 |
| ES | 3.64 | 2.84 | 2.95 | 2.78 | 3.17 | 3.66 | 3.17 | 1.32 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
