Bitcoin, 23 May, 2025
BOVESPA
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 | 6.7 | 6.0 | 4.7 | 6.4 | 7.8 | 6.600000 | 1.6 | 6.4 |
| ES | 9.0 | 6.9 | 5.4 | 7.3 | 12.3 | 9.700001 | 2.3 | 8.4 |
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,