BIST 100, 17 June, 2025
BITCOIN
Returns
Data density with normal and t(3)
Value-at-Risk
Expexted Shortfall
Risk forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | ModelRisk | Mean |
|---|---|---|---|---|---|---|---|---|
| VaR | 6.3 | 4.3 | 3.3 | 3.7 | 4.1 | 5.4 | 1.9 | 4.5 |
| ES | 8.0 | 5.0 | 3.8 | 4.2 | 5.3 | 10.9 | 2.9 | 6.2 |
Price drop given year
Probability of price drop
Autocorrelations
Quantile-Quantile plots
Extreme risk
Daily market risk forecasts and analysis© All rights reserved, Jon Danielsson,