Daily risk forecast for Monday, August 21 (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 8.36 13.33 12.76 13.38 24.12 8.69 2.88
DKK 0.54 0.42 0.22 0.26 0.54 0.48 2.41
GBP 13.06 12.96 9.37 10.03 13.17 13.45 1.44
JPY 15.95 14.45 11.53 12.62 19.88 16.40 1.72
RUB 35.65 33.98 15.83 16.61 24.68 37.30 2.36
SP-500 21.84 18.17 9.58 11.93 15.71 22.13 2.31
USD 15.01 12.58 9.54 10.24 17.43 14.80 1.83

ES

HS MA EWMA GARCH tGARCH EVT Model Risk
CHF 25.47 15.28 14.62 15.33 33.28 15.83 2.28
DKK 0.73 0.48 0.26 0.30 0.75 0.89 3.50
GBP 17.46 14.85 10.73 11.50 16.93 18.08 1.68
JPY 24.38 16.56 13.21 14.45 27.20 24.69 2.06
RUB 58.41 38.93 18.13 19.03 32.63 57.70 3.22
SP-500 28.42 20.82 10.98 13.66 20.67 30.00 2.73
USD 21.10 14.42 10.93 11.74 24.49 22.85 2.24

-5%

MA EWMA GARCH tGARCH EVT
CHF 3e+15 1e+17 2e+15 5.8 19
DKK 2e+07 9,330
GBP 3e+16 4e+32 2e+28 355 67
JPY 9e+12 1e+21 3e+17 14 11
RUB 13 4e+10 3e+09 7.8 0.9
SP-500 5e+07 1e+31 4e+19 73 8.9
USD 3e+17 3e+31 1e+27 17 13

-15%

MA EWMA GARCH tGARCH EVT
CHF 1e+148 6e+161 1e+147 499 221
DKK 2e+09 1e+05
GBP 7e+156 9e+300 1e+262 2e+05 4,920
JPY 9e+125 2e+198 4e+165 1,400 293
RUB 8e+21 8e+104 1e+95 1,580 20
SP-500 2e+79 3e+287 2e+185 19,100 587
USD 3e+166 2e+290 3e+251 1,170 285