Bitcoin, crypto, nan, 12 September, 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 | 8.2 | 6.7 | 6.6 | 5.9 | 8.5 | 8.2 | 1.5 | 7.4 |
| ES | 11.4 | 7.7 | 7.6 | 6.7 | 14.3 | 12.5 | 2.1 | 10.0 |
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,