BIST 100, 03 February, 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 | 5.7 | 4.3 | 2.1 | 3.2 | 3.5 | 5.3 | 2.7 | 4.0 |
| ES | 7.8 | 4.9 | 2.4 | 3.6 | 4.7 | 10.2 | 4.2 | 5.6 |
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,