Daily risk forecast for Monday, October 16 (euro) and Friday, September 29 (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 13.38 7.50 13.26 10.71 8.84 1.78
DKK 0.54 0.42 0.22 0.24 0.46 0.48 2.45
GBP 13.61 13.05 10.38 11.02 15.98 13.75 1.54
JPY 15.95 14.36 8.88 10.30 19.11 16.40 2.15
RUB 35.65 34.05 12.98 15.01 21.30 37.30 2.87
SP-500 21.84 18.03 9.40 11.66 15.84 22.13 2.36
USD 15.01 12.68 10.66 11.42 18.85 14.80 1.77

ES

HS MA EWMA GARCH tGARCH EVT Model Risk
CHF 25.59 15.33 8.60 15.19 14.77 16.45 2.98
DKK 0.73 0.48 0.25 0.28 0.64 0.89 3.55
GBP 17.55 14.95 11.89 12.62 21.08 17.98 1.77
JPY 24.38 16.45 10.18 11.80 26.52 24.69 2.61
RUB 58.41 39.00 14.87 17.20 27.70 57.70 3.93
SP-500 28.42 20.66 10.76 13.36 21.48 30.00 2.79
USD 21.10 14.53 12.21 13.08 26.31 22.85 2.15

-5%

MA EWMA GARCH tGARCH EVT
CHF 2e+15 2e+51 5e+15 154 17
DKK 4e+07 9,330
GBP 2e+16 2e+26 2e+23 64 97
JPY 1e+13 2e+36 6e+26 14 11
RUB 13 3e+16 9e+11 20 0.9
SP-500 7e+07 2e+32 4e+20 40 8.9
USD 2e+17 8e+24 3e+21 14 13

-15%

MA EWMA GARCH tGARCH EVT
CHF 1e+147 7e+149 14,400 182
DKK 3e+09 1e+05
GBP 4e+154 1e+245 2e+217 15,900 10,300
JPY 5e+127 8e+248 1,120 293
RUB 7e+21 3e+156 5e+116 6,920 20
SP-500 4e+80 1e+299 1e+194 5,020 587
USD 7e+163 2e+232 2e+202 1,020 285