BIST 100, 20 January, 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 | 5.69999981 | 4.30000019 | 2.60000014 | 3.50000000 | 3.50000000 | 5.40000010 | 2.20000005 | 4.19999981 |
| ES | 7.80000019 | 4.90000010 | 3.00000000 | 4.00000000 | 4.69999981 | 10.30000019 | 3.50000000 | 5.79999971 |
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,