Daily risk methods

The risk forecast methods are historical simulation (HS), moving average normal (MA), exponentially weighted moving average normal (EWMA), normal GARCH, student-t GARCH and extreme value theory (EVT). The risk measures are Value-at-Risk (VaR) and expected shortfall (ES).

The oldest methods used to estimate them date back to the 1950s, at least, and the youngest method to the 1980s.

The information below comes from Financial Risk Forecasting, as well as and the code to estimate them.

Notation

Non-parametric methods

HS

The VaR at probability is simply the negative value in the sorted return vector, multiplied by the monetary value of the portfolio.

Volatility based methods

MA

Possibly the simplest volatility forecast model is a moving average (MA) model.

GARCH

The most common version only employs one lag in the GARCH(1,1) model.

EWMA

where is the decay factor and the conditional volatility forecast on day .

tGARCH

Tail methods

EVT

Hill

Others

APARCH, realized vol, implied vol