Bitcoin, 17 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 | 6.3 | 4.3 | 5.0 | 6.3 | 7.4 | 1.7 | 6.1 |
| ES | 10.5 | 7.2 | 4.9 | 5.8 | 10.1 | 10.9 | 2.2 | 8.2 |
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,