Bitcoin, 04 February, 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 | 7.4 | 6.4 | 5.4 | 7.0 | 7.8 | 7.4 | 1.5 | 6.9 |
| ES | 10.5 | 7.3 | 6.1 | 8.0 | 12.3 | 10.9 | 2.0 | 9.2 |
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,