Daily risk forecast for Monday, December 18 (euro) and Tuesday, December 12 (SP-500)

The Daily Risk page shows one day risk forecasts for a range of assets and models. The forecasts are updated daily as the closing prices become available.

The models are estimated with code from Financial Risk Forecasting and the output is described here. The two risk measures that are estimated are Value-at-Risk (VaR) and expected shortfall (ES), both at the 99% probability. These measures are described here, while the statistical models used in the forecasting can be seen here.

The assets are a number of euro exchange rates as well as the SP-500 index. Therefore, the risk is of the euro falling.


VaR

HS MA EWMA GARCH tGARCH EVT Model Risk
CHF 8.58 13.42 5.56 13.29 8.77 8.84 2.42
DKK 0.54 0.42 0.21 0.28 0.50 0.48 2.57
GBP 14.00 13.19 11.99 12.35 16.49 13.89 1.38
JPY 15.95 14.29 8.55 9.95 16.09 16.40 1.92
RUB 35.65 34.14 13.12 15.05 21.07 37.30 2.84
SP-500 21.84 17.78 9.34 12.67 18.49 22.13 2.37
USD 15.01 12.76 10.54 11.19 18.24 14.89 1.73

ES

HS MA EWMA GARCH tGARCH EVT Model Risk
CHF 25.59 15.38 6.37 15.22 12.10 16.45 4.02
DKK 0.73 0.48 0.24 0.32 0.69 0.89 3.73
GBP 17.59 15.11 13.73 14.15 21.39 18.08 1.56
JPY 24.38 16.37 9.79 11.40 21.79 24.69 2.52
RUB 58.41 39.11 15.04 17.25 27.24 57.70 3.88
SP-500 28.42 20.38 10.70 14.52 24.93 30.00 2.80
USD 21.10 14.62 12.08 12.82 25.36 22.76 2.10

-5%

MA EWMA GARCH tGARCH EVT
CHF 2e+15 3e+94 4e+15 349 17
DKK 3e+07 9,330
GBP 7e+15 3e+19 2e+18 79 100
JPY 2e+13 2e+39 6e+28 38 11
RUB 12 1e+16 7e+11 23 0.9
SP-500 1e+08 6e+32 2e+17 22 8.9
USD 1e+17 3e+25 3e+22 16 13

-15%

MA EWMA GARCH tGARCH EVT
CHF 2e+146 2e+149 32,800 182
DKK 2e+09 1e+05
GBP 3e+151 3e+183 5e+172 32,300 11,400
JPY 8e+128 5e+266 4,910 293
RUB 5e+21 8e+152 1e+116 9,990 20
SP-500 8e+82 3e+302 1e+164 3,130 587
USD 6e+161 2e+237 5e+210 1,280 318