Bitcoin, crypto, nan, 19 June, 2024
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 | 8.7 | 6.8 | 4.3 | 5.7 | 6.3 | 8.6 | 2.0 | 6.8 |
| ES | 11.4 | 7.8 | 5.0 | 6.5 | 10.4 | 12.1 | 2.4 | 8.9 |
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,