Daily risk forecast for Monday, March 27 (euro) and Thursday, March 23 (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 7.93 13.33 4.41 13.17 8.16 8.54 3.02
DKK 0.54 0.41 0.25 0.33 0.67 0.48 2.65
GBP 13.06 12.85 10.21 10.72 16.83 13.44 1.65
JPY 16.57 14.98 12.28 13.39 20.24 17.69 1.65
RUB 35.65 33.71 17.55 19.22 26.60 37.30 2.13
SP-500 23.23 18.71 11.70 17.48 20.63 22.72 1.99
USD 15.14 12.68 9.63 11.92 16.76 15.03 1.74

ES

HS MA EWMA GARCH tGARCH EVT Model Risk
CHF 24.71 15.27 5.05 15.09 11.26 14.05 4.89
DKK 0.73 0.47 0.29 0.38 0.93 0.89 3.22
GBP 17.46 14.73 11.70 12.28 21.99 18.12 1.88
JPY 25.95 17.16 14.07 15.34 27.88 25.05 1.98
RUB 58.41 38.62 20.10 22.02 34.80 57.70 2.91
SP-500 28.78 21.44 13.40 20.02 26.62 30.87 2.30
USD 21.15 14.53 11.04 13.66 23.16 23.13 2.10

-5%

MA EWMA GARCH tGARCH EVT
CHF 3e+15 5e+150 8e+15 470 36
DKK 8e+06 9,250
GBP 6e+16 2e+27 4e+24 60 65
JPY 1e+12 3e+18 2e+15 12 14
RUB 14 2e+08 6e+06 6.1 0.9
SP-500 2e+07 3e+20 3e+08 27 7.9
USD 2e+17 6e+30 5e+19 24 12

-15%

MA EWMA GARCH tGARCH EVT
CHF 2e+148 6e+151 44,300 595
DKK 7e+08 99,700
GBP 3e+159 1e+253 4e+229 19,100 4,550
JPY 2e+117 6e+174 7e+146 1,080 580
RUB 2e+22 2e+85 7e+70 1,630 20
SP-500 6e+74 5e+192 8e+85 12,300 509
USD 8e+163 3e+284 3e+185 2,150 285