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

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AORD

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AEX

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SPTSX

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TELAVIV100

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JKSE

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MXX

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MOEX

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TASI

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JSE40

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OMXH25

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ISEQ

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OMX

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BIST100

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FTSEMIB

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ASX200

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BOVESPA

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CAC40

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FTSE100

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FTSE250

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FTSEAS

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FTSE350

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FTSE100TR

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DAX

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DAXMIDCAP

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HSI

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ICEX

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SENSEX

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N225

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SHCOMP

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STI

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SP500

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SP500TR

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IBEX

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SX5E

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TWSE

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TOPIX

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TOPXDV

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VIX

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KOSPI

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KFX

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MERVAL

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AAPL

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AMZN

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GBPEUR

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USDEUR

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JPYEUR

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CHFEUR

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