Bitcoin, crypto, nan, 28 May, 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 | 10.9 | 8.3 | 3.9 | 5.9 | 6.0 | 10.4 | 2.8 | 7.5 |
| ES | 12.9 | 9.5 | 4.5 | 6.7 | 9.2 | 14.2 | 3.2 | 9.5 |
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,