Portfolio value-at-risk with two-sided Weibull distribution: Evidence from cryptocurrency markets

•Two-sided Weibull distribution is suggested for multivariate portfolio-value-at-risk estimation.•This new portfolio risk model is applied to a cryptocurrency portfolio.•The predictive performance is compared with several widely used models.•Findings suggest that the portfolio value-at-risk with two-sided Weibull distribution outperforms the other models.