Forecasting tail risk for Bitcoin: A dynamic peak over threshold approach

•This paper employs a dynamic peak over threshold (PoT) model to capture the tail behavior and forecast the tail risk for Bitcoin.•We evaluate the VaR forecasting accuracy of the dynamic PoT model compared with that of the GARCH-EVT models.•The dynamic PoT model exhibits superior VaR forecasting performance, indicating the importance of modeling the tail index for Bitcoin.