Bitcoin, 11 March, 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 | 7.400000 | 6.2 | 8.6 | 8.299999 | 11.700000 | 7.2 | 1.9 | 8.2 |
| ES | 9.700001 | 7.1 | 9.8 | 9.500000 | 18.799999 | 10.2 | 2.6 | 10.9 |
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,