Extreme Risk: BITCOIN

BITCOIN

Returns

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VaR

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ES

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Risk forecast

Type HS MA EWMA GARCH tGARCH EVT ModelRisk Mean
VaR 10.9 9.4 8.1 9.1 10.7 10.9 1.4 9.8
ES 16.4 10.7 9.2 10.4 16.4 15.5 1.8 13.1

Price drop given year

Probability of price drop

Data and normal density

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BITCOIN