Figures

One day out-of-sample risk forecasts for a range of assets and models. The forecasts are updated daily as the closing prices become available. VaR and ES of a portfolio worth 1000 in the native currency.

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.

BITCOIN

AORD

AEX

SPTSX

TELAVIV100

JKSE

MXX

MOEX

TASI

JSE40

OMXH25

ISEQ

OMX

BIST100

FTSEMIB

ASX200

BOVESPA

CAC40

FTSE100

FTSE250

FTSEAS

FTSE350

FTSE100TR

DAX

DAXMIDCAP

HSI

ICEX

SENSEX

N225

SHCOMP

STI

SP500

SP500TR

IBEX

SX5E

TWSE

TOPIX

TOPXDV

VIX

KOSPI

KFX

MERVAL

AAPL

AMZN

GBPEUR

USDEUR

JPYEUR

CHFEUR