Bitcoin, crypto, nan, 30 November, 2023
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 | 10.5 | 7.5 | 5.5 | 6.0 | 6.8 | 9.8 | 1.9 | 7.7 |
| ES | 12.5 | 8.6 | 6.3 | 6.9 | 10.9 | 13.2 | 2.1 | 9.7 |
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,