Daily risk forecast for Tuesday, June 27 (euro) and Friday, June 16 (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 7.25 13.20 4.27 13.04 5.53 8.21 3.09
DKK 0.54 0.42 0.34 0.37 0.86 0.48 2.51
GBP 13.06 12.93 11.15 11.55 15.97 13.45 1.43
JPY 15.95 14.51 12.26 12.78 20.92 16.40 1.71
RUB 35.65 33.85 18.19 20.54 28.02 37.30 2.05
SP-500 21.84 18.17 9.58 11.93 15.71 22.13 2.31
USD 15.01 12.54 7.04 9.36 16.14 14.80 2.29

ES

HS MA EWMA GARCH tGARCH EVT Model Risk
CHF 24.53 15.12 4.89 14.94 7.63 14.31 5.02
DKK 0.73 0.48 0.39 0.42 1.20 0.89 3.06
GBP 17.46 14.82 12.77 13.23 20.83 18.08 1.63
JPY 24.38 16.62 14.05 14.64 28.57 24.69 2.03
RUB 58.41 38.78 20.84 23.53 36.49 57.70 2.80
SP-500 28.42 20.82 10.98 13.66 20.67 30.00 2.73
USD 21.10 14.36 8.07 10.72 23.18 22.85 2.87

-5%

MA EWMA GARCH tGARCH EVT
CHF 6e+15 8e+160 2e+16 2,370 28
DKK 3e+06 9,330
GBP 3e+16 5e+22 1e+21 82 67
JPY 7e+12 3e+18 9e+16 11 11
RUB 14 5e+07 5e+05 5.0 0.9
SP-500 5e+07 1e+31 4e+19 73 8.9
USD 5e+17 3e+58 5e+32 18 13

-15%

MA EWMA GARCH tGARCH EVT
CHF 1e+151 7e+154 2e+05 365
DKK 2e+08 1e+05
GBP 3e+157 2e+212 7e+197 28,200 4,920
JPY 9e+124 2e+175 2e+161 1,180 293
RUB 1e+22 1e+79 9e+61 1,490 20
SP-500 2e+79 3e+287 2e+185 19,100 587
USD 5e+167 4e+301 931 285