JSE40, index, South Africa, 06 April, 2023


BITCOIN
QQQ

Returns

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Data density with normal and t(3)

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Value-at-Risk

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Expexted Shortfall

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Risk forecasts

Type HS MA EWMA GARCH tGARCH EVT ModelRisk Mean
VaR 3.8 3.3 2.7 2.6 2.9 3.8 1.5 3.2
ES 5.9 3.7 3.1 3.0 3.6 6.3 2.1 4.3

Price drop given year

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Probability of price drop

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Autocorrelations

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Quantile-Quantile plots

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BITCOIN
QQQ

Extreme risk
Daily market risk forecasts and analysis
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