Daily risk forecast for Wednesday, April 26 (euro) and Tuesday, April 25 (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 7.29 13.26 7.58 13.20 17.41 8.40 2.39
DKK 0.54 0.41 0.35 0.35 0.82 0.48 2.37
GBP 13.06 12.93 12.56 13.09 17.23 13.45 1.37
JPY 16.52 14.96 18.26 19.58 30.39 17.56 2.03
RUB 35.65 33.74 14.87 14.80 20.97 37.30 2.52
SP-500 23.10 18.51 10.23 14.39 17.97 22.45 2.26
USD 15.14 12.71 11.98 12.14 23.76 15.00 1.98

ES

HS MA EWMA GARCH tGARCH EVT Model Risk
CHF 24.53 15.20 8.69 15.13 24.00 13.76 2.82
DKK 0.73 0.48 0.40 0.40 1.14 0.89 2.88
GBP 17.46 14.81 14.39 15.00 22.45 18.08 1.56
JPY 25.95 17.14 20.92 22.43 41.63 24.90 2.43
RUB 58.41 38.65 17.04 16.95 27.20 57.70 3.45
SP-500 28.77 21.21 11.73 16.49 23.25 30.65 2.61
USD 21.15 14.56 13.73 13.91 33.56 23.30 2.45

-5%

MA EWMA GARCH tGARCH EVT
CHF 4e+15 2e+50 6e+15 21 39
DKK 4e+06 9,330
GBP 4e+16 4e+17 1e+16 57 67
JPY 1e+12 4e+07 3e+06 2.5 14
RUB 14 2e+12 2e+12 22 0.9
SP-500 2e+07 1e+27 1e+13 53 8.0
USD 1e+17 3e+19 8e+18 5.2 12

-15%

MA EWMA GARCH tGARCH EVT
CHF 5e+149 1e+151 1,950 655
DKK 3e+08 1e+05
GBP 5e+157 1e+167 5e+153 20,000 4,920
JPY 3e+117 4e+78 2e+68 223 578
RUB 2e+22 8e+118 1e+120 8,590 20
SP-500 3e+76 9e+251 1e+127 23,800 486
USD 1e+163 5e+183 7e+178 315 256