Daily risk forecast

One day ahead 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. The two risk measures that are estimated are Value-at-Risk (VaR) and expected shortfall (ES), both at the 99% probability, described here, while the statistical models used in the forecasting can be seen here.

There are several tables, first two showing VaR and ES, along with model risk calculated by the risk ratio method. The last show the implied probability of a 5% and 20% drop and the expected worst drop in 5 and 25 years. We cannot calculate the probability for HS and it is not relevant to calculate model risk in this case.

VaR

Forecast date HS MA EWMA GARCH tGARCH EVT Model risk
Bitcoin 2019-10-21 129.21 104.24 61.84 73.05 198.91 124.98 3.22
GBP/EUR 2019-10-21 13.19 12.60 18.82 19.50 27.70 13.35 2.20
USD/EUR 2019-10-21 11.25 11.02 7.124 7.810 13.29 11.11 1.86
JPY/EUR 2019-10-21 14.75 13.32 11.16 11.85 16.26 15.19 1.46
CHF/EUR 2019-10-21 6.684 6.502 7.124 7.006 9.376 6.953 1.44
STOXX50E 2019-10-21 28.74 23.22 24.12 25.49 35.11 27.03 1.51
FTSE 2019-10-21 24.15 19.15 19.76 17.49 26.00 23.34 1.49
SP-500 2019-10-21 26.29 19.41 21.03 19.03 35.96 26.08 1.89
Nikkei 225 2019-10-21 37.94 28.56 21.59 27.00 40.98 37.74 1.90

ES

Forecast date HS MA EWMA GARCH tGARCH EVT Model risk
Bitcoin 2019-10-21 157.33 119.42 70.84 83.69 336.49 159.46 4.75
GBP/EUR 2019-10-21 17.37 14.44 21.56 22.35 36.71 17.69 2.54
USD/EUR 2019-10-21 15.38 12.62 8.161 8.948 17.13 16.76 2.10
JPY/EUR 2019-10-21 22.25 15.26 12.79 13.57 20.85 21.09 1.74
CHF/EUR 2019-10-21 9.774 7.449 8.161 8.026 11.96 10.32 1.61
STOXX50E 2019-10-21 38.96 26.60 27.64 29.20 45.48 41.17 1.71
FTSE 2019-10-21 28.61 21.94 22.64 20.03 33.18 31.16 1.66
SP-500 2019-10-21 32.81 22.24 24.09 21.81 50.50 35.09 2.32
Nikkei 225 2019-10-21 50.77 32.72 24.73 30.93 56.51 54.37 2.28

Probability (in years) of a 5% drop

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2019-10-21 0.0302 0.133 0.0719 0.0277 0.0058
GBP/EUR 2019-10-21 2.9e+17 1.2e+07 3.2e+06 4.516 87.02
USD/EUR 2019-10-21 1.7e+23 1.3e+57 2.2e+47 308.65 34.71
JPY/EUR 2019-10-21 3.2e+15 4e+22 8.4e+19 115.11 28.33
CHF/EUR 2019-10-21 5.5e+68 1.3e+57 1.2e+59 3750.38 169.60
STOXX50E 2019-10-21 1.5e+04 5623.55 1588.66 1.803 2.398
FTSE 2019-10-21 6.4e+06 2e+06 2.8e+08 9.279 8.325
SP-500 2019-10-21 3.9e+06 2.5e+05 8.1e+06 1.210 5.054
Nikkei 225 2019-10-21 172.45 1.1e+05 486.69 0.794 1.004

Probability (in years) of a 20% drop

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2019-10-21 991.85 1.5e+11 4.2e+07 0.405 3.518
GBP/EUR 2019-10-21 2.8e+295 1.2e+132 8.9e+122 3396.03 2.5e+04
USD/EUR 2019-10-21 Inf Inf Inf 8.9e+05 2123.66
JPY/EUR 2019-10-21 2.3e+264 Inf Inf 4.1e+05 4033.51
CHF/EUR 2019-10-21 Inf Inf Inf 2.1e+07 1.2e+04
STOXX50E 2019-10-21 3.3e+86 1.2e+80 4.1e+71 2609.10 135.74
FTSE 2019-10-21 3.5e+127 5.4e+119 1.4e+153 3.5e+04 2088.16
SP-500 2019-10-21 1.4e+124 4.4e+105 1.4e+129 217.90 1123.58
Nikkei 225 2019-10-21 7.2e+56 1.6e+100 5.4e+63 186.10 93.27

Expected worst drop in 5 years

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2019-10-21 -14.14% -8.389% -9.910% -55.87% -21.58%
GBP/EUR 2019-10-21 -1.710% -2.553% -2.646% -5.115% -2.481%
USD/EUR 2019-10-21 -1.495% -0.966% -1.060% -2.322% -2.603%
JPY/EUR 2019-10-21 -1.807% -1.514% -1.607% -2.813% -3.079%
CHF/EUR 2019-10-21 -0.882% -0.966% -0.950% -1.604% -1.584%
STOXX50E 2019-10-21 -3.149% -3.273% -3.458% -6.196% -6.436%
FTSE 2019-10-21 -2.598% -2.681% -2.372% -4.452% -4.400%
SP-500 2019-10-21 -2.633% -2.853% -2.582% -7.411% -4.986%
Nikkei 225 2019-10-21 -3.874% -2.929% -3.662% -8.165% -8.172%

Expected worst drop in 25 years

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2019-10-21 -16.12% -9.565% -11.30% -100.00% -30.56%
GBP/EUR 2019-10-21 -1.950% -2.911% -3.017% -7.258% -3.682%
USD/EUR 2019-10-21 -1.704% -1.102% -1.208% -3.166% -4.477%
JPY/EUR 2019-10-21 -2.061% -1.727% -1.833% -3.807% -4.828%
CHF/EUR 2019-10-21 -1.006% -1.102% -1.084% -2.154% -2.678%
STOXX50E 2019-10-21 -3.591% -3.732% -3.943% -8.506% -11.19%
FTSE 2019-10-21 -2.963% -3.057% -2.705% -5.982% -6.589%
SP-500 2019-10-21 -3.003% -3.253% -2.944% -11.38% -7.535%
Nikkei 225 2019-10-21 -4.417% -3.339% -4.176% -12.23% -13.37%

© All rights reserved, Jon Danielsson, 2019