Daily risk forecast for Thursday, February 23 (euro) and Wednesday, January 11 (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 13.34 3.45 13.19 4.56 8.54 3.87
DKK 0.54 0.41 0.22 0.25 0.52 0.48 2.40
GBP 13.06 12.85 13.09 13.66 19.30 13.44 1.50
JPY 16.57 15.35 10.89 12.02 20.44 17.69 1.88
RUB 35.65 33.67 20.47 24.78 33.57 37.30 1.82
SP-500 23.23 18.86 11.58 14.11 17.80 22.72 2.01
USD 15.14 12.72 12.91 13.51 22.24 15.03 1.75

ES

HS MA EWMA GARCH tGARCH EVT Model Risk
CHF 24.71 15.28 3.95 15.11 6.28 14.05 6.25
DKK 0.73 0.47 0.26 0.29 0.72 0.89 3.48
GBP 17.46 14.72 14.99 15.65 25.10 18.12 1.71
JPY 25.95 17.59 12.48 13.77 28.21 25.05 2.26
RUB 58.41 38.57 23.45 28.39 43.89 57.70 2.49
SP-500 28.78 21.61 13.27 16.16 22.62 30.87 2.33
USD 21.15 14.57 14.80 15.47 31.74 23.13 2.18

-5%

MA EWMA GARCH tGARCH EVT
CHF 3e+15 2e+246 7e+15 5,400 36
DKK 2e+07 9,250
GBP 6e+16 1e+16 5e+14 33 65
JPY 2e+11 6e+23 2e+19 11 14
RUB 14 6e+05 2,990 2.1 0.9
SP-500 1e+07 8e+20 5e+13 88 7.9
USD 1e+17 4e+16 1e+15 6.1 12

-15%

MA EWMA GARCH tGARCH EVT
CHF 1e+148 3e+151 5e+05 595
DKK 2e+09 99,700
GBP 4e+159 7e+153 1e+141 11,900 4,550
JPY 3e+111 3e+222 3e+182 981 580
RUB 2e+22 2e+62 2e+42 488 20
SP-500 4e+73 4e+196 2e+132 84,600 509
USD 9e+162 1e+158 2e+144 329 285