Bitcoin, crypto, nan, 16 April, 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 | 9.5 | 7.0 | 8.1 | 7.5 | 10.6 | 9.0 | 1.5 | 8.6 |
ES | 11.7 | 8.0 | 9.2 | 8.6 | 17.1 | 12.6 | 2.1 | 11.2 |
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,