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 2020-07-03 120.33 100.41 43.58 66.56 123.27 122.84 2.83
GBP/EUR 2020-07-03 13.19 11.39 11.12 11.75 16.25 12.83 1.46
USD/EUR 2020-07-03 11.49 10.36 12.28 11.96 14.34 10.89 1.38
JPY/EUR 2020-07-03 12.55 11.46 13.62 12.63 14.59 12.25 1.27
CHF/EUR 2020-07-03 6.964 6.330 8.149 6.620 9.969 6.897 1.57
STOXX50E 2020-07-03 39.00 27.65 43.82 29.55 48.17 37.15 1.74
FTSE 2020-07-03 35.63 24.66 38.06 28.80 44.70 35.23 1.81
SP-500 2020-07-03 41.84 29.39 39.90 38.06 66.56 40.12 2.27
Nikkei 225 2020-07-03 37.94 27.51 37.99 32.83 57.54 34.85 2.09
Shanghai Composite 2020-07-03 34.52 24.20 16.30 17.79 31.52 32.58 2.12
Australia ASX 200 2020-07-03 34.99 27.04 37.83 35.25 48.17 34.93 1.78
Singapore STI 2020-07-03 30.43 419.59 30.69 296.03 31.61 33.85 13.79
Taiwan TWSE 2020-07-03 29.04 21.65 21.44 18.76 27.53 29.05 1.55
Germany DAX 2020-07-03 39.85 27.15 41.47 27.57 46.36 38.59 1.71
France CAC40 2020-07-03 34.92 27.67 45.32 34.01 49.99 34.52 1.81
Spain IBEX35 2020-07-03 34.15 26.15 33.64 34.84 46.70 32.74 1.79
Hong Kong HSI 2020-07-03 30.29 22.91 30.58 24.01 41.30 28.14 1.80
Iceland ICEX 2020-07-03 53.59 41.37 41.91 36.01 49.68 50.62 1.49
Brazil BOVESPA 2020-07-03 34.97 27.64 33.00 24.44 32.23 33.33 1.43
India SENSEX 2020-07-03 39.34 28.50 44.29 35.95 57.77 36.57 2.03
Amazon 2020-07-03 55.19 42.01 39.63 43.36 66.76 53.26 1.68

ES

Forecast date HS MA EWMA GARCH tGARCH EVT Model risk
Bitcoin 2020-07-03 170.62 115.03 49.93 76.26 200.26 169.13 4.01
GBP/EUR 2020-07-03 17.23 13.05 12.74 13.46 21.13 19.12 1.66
USD/EUR 2020-07-03 14.00 11.86 14.07 13.70 17.42 15.72 1.47
JPY/EUR 2020-07-03 14.37 13.12 15.61 14.47 17.79 15.46 1.36
CHF/EUR 2020-07-03 9.850 7.252 9.336 7.585 12.96 10.25 1.79
STOXX50E 2020-07-03 58.37 31.68 50.21 33.85 64.54 67.68 2.14
FTSE 2020-07-03 52.22 28.25 43.60 32.99 57.98 58.46 2.07
SP-500 2020-07-03 64.72 33.67 45.71 43.60 92.31 67.81 2.74
Nikkei 225 2020-07-03 47.93 31.52 43.53 37.62 79.32 54.84 2.52
Shanghai Composite 2020-07-03 46.19 27.73 18.67 20.39 43.99 51.56 2.76
Australia ASX 200 2020-07-03 66.84 30.97 43.34 40.38 64.04 88.40 2.85
Singapore STI 2020-07-03 444.86 480.71 35.16 339.16 44.17 118.41 13.67
Taiwan TWSE 2020-07-03 44.91 24.80 24.56 21.50 36.28 51.51 2.40
Germany DAX 2020-07-03 58.71 31.10 47.51 31.59 61.62 62.54 2.01
France CAC40 2020-07-03 56.08 31.70 51.92 38.96 64.14 61.80 2.02
Spain IBEX35 2020-07-03 43.67 29.96 38.54 39.92 59.84 46.93 2.00
Hong Kong HSI 2020-07-03 42.50 26.25 35.03 27.50 55.22 50.80 2.10
Iceland ICEX 2020-07-03 95.94 47.40 48.02 41.26 64.31 124.93 3.03
Brazil BOVESPA 2020-07-03 64.20 31.67 37.80 28.00 40.81 75.07 2.68
India SENSEX 2020-07-03 57.17 32.65 50.74 41.19 78.27 67.85 2.40
Amazon 2020-07-03 66.25 48.13 45.41 49.67 89.56 70.87 1.97

Probability (in years) of a 5% drop

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2020-07-03 0.0324 1.052 0.099 0.0543 0.0150
GBP/EUR 2020-07-03 4.4e+21 5.9e+22 1.9e+20 80.43 25.05
USD/EUR 2020-07-03 2.8e+26 2.9e+18 3.4e+19 4092.53 57.05
JPY/EUR 2020-07-03 2.5e+21 5.9e+14 2.4e+17 2546.45 347.00
CHF/EUR 2020-07-03 4e+72 2.5e+43 1.9e+66 1115.92 170.74
STOXX50E 2020-07-03 308.48 1.006 96.73 0.457 0.773
FTSE 2020-07-03 3354.22 3.572 149.16 0.626 0.965
SP-500 2020-07-03 105.99 2.249 3.572 0.165 0.686
Nikkei 225 2020-07-03 339.37 3.635 20.19 0.254 1.077
Shanghai Composite 2020-07-03 5198.23 8.4e+09 1.3e+08 1.978 1.280
Australia ASX 200 2020-07-03 473.35 3.801 8.267 0.459 0.724
Singapore STI 2020-07-03 0.0102 53.14 0.0115 1.946 0.691
Taiwan TWSE 2020-07-03 1e+05 1.4e+05 1.4e+07 4.876 1.390
Germany DAX 2020-07-03 437.61 1.589 325.47 0.529 0.787
France CAC40 2020-07-03 304.46 0.779 12.79 0.400 0.926
Spain IBEX35 2020-07-03 920.70 14.66 9.490 0.529 1.623
Hong Kong HSI 2020-07-03 2.1e+04 56.12 6334.41 0.816 1.451
Iceland ICEX 2020-07-03 1.622 1.450 6.466 0.410 0.392
Brazil BOVESPA 2020-07-03 310.24 18.89 4101.01 3.206 0.830
India SENSEX 2020-07-03 178.86 0.927 6.580 0.247 0.788
Amazon 2020-07-03 1.421 2.397 1.095 0.154 0.310

Probability (in years) of a 20% drop

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2020-07-03 2228.42 6.1e+23 2.9e+09 1.381 2.374
GBP/EUR 2020-07-03 Inf Inf Inf 1.5e+05 1700.34
USD/EUR 2020-07-03 Inf Inf Inf 3.7e+09 5188.74
JPY/EUR 2020-07-03 Inf 7.1e+252 1.4e+294 1.1e+09 2.7e+05
CHF/EUR 2020-07-03 Inf Inf Inf 2.2e+06 1.2e+04
STOXX50E 2020-07-03 5.1e+60 3.2e+23 1.1e+53 172.85 16.70
FTSE 2020-07-03 4e+76 3.5e+31 7.9e+55 649.54 31.60
SP-500 2020-07-03 4.4e+53 3.9e+28 3.5e+31 23.88 20.45
Nikkei 225 2020-07-03 2.2e+61 4.6e+31 5.7e+42 46.63 48.30
Shanghai Composite 2020-07-03 3.5e+79 2.7e+176 7.4e+147 416.62 55.34
Australia ASX 200 2020-07-03 3.5e+63 8.8e+31 9e+36 208.99 7.160
Singapore STI 2020-07-03 0.0299 1.2e+49 0.0690 398.11 4.812
Taiwan TWSE 2020-07-03 4.5e+99 4.4e+101 8.5e+132 4432.97 33.39
Germany DAX 2020-07-03 1.1e+63 2.4e+26 1.2e+61 252.59 29.38
France CAC40 2020-07-03 4.2e+60 8e+21 6.1e+39 517.56 21.42
Spain IBEX35 2020-07-03 9.4e+67 4.7e+40 7e+37 808.84 159.20
Hong Kong HSI 2020-07-03 7e+88 2.8e+49 7.3e+80 373.52 32.48
Iceland ICEX 2020-07-03 3.3e+26 6.4e+25 2.3e+35 391.13 4.029
Brazil BOVESPA 2020-07-03 5.6e+60 2.1e+42 8.9e+77 1.5e+04 10.04
India SENSEX 2020-07-03 1.2e+57 9.8e+22 3e+35 60.89 15.95
Amazon 2020-07-03 4.8e+25 1e+29 1.1e+24 38.07 82.11

Expected worst drop in 5 years

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2020-07-03 -13.62% -5.912% -9.030% -32.54% -24.52%
GBP/EUR 2020-07-03 -1.546% -1.509% -1.594% -2.891% -2.944%
USD/EUR 2020-07-03 -1.405% -1.666% -1.622% -2.215% -2.366%
JPY/EUR 2020-07-03 -1.554% -1.848% -1.714% -2.273% -2.071%
CHF/EUR 2020-07-03 -0.859% -1.105% -0.898% -1.772% -1.576%
STOXX50E 2020-07-03 -3.751% -5.945% -4.009% -9.086% -11.61%
FTSE 2020-07-03 -3.345% -5.163% -3.907% -7.910% -9.612%
SP-500 2020-07-03 -3.986% -5.413% -5.163% -13.40% -11.25%
Nikkei 225 2020-07-03 -3.732% -5.154% -4.454% -11.46% -8.750%
Shanghai Composite 2020-07-03 -3.283% -2.211% -2.414% -6.421% -8.255%
Australia ASX 200 2020-07-03 -3.668% -5.132% -4.782% -8.950% -16.10%
Singapore STI 2020-07-03 -56.92% -4.163% -40.16% -6.456% -20.55%
Taiwan TWSE 2020-07-03 -2.937% -2.908% -2.545% -5.028% -8.739%
Germany DAX 2020-07-03 -3.683% -5.626% -3.740% -8.610% -10.15%
France CAC40 2020-07-03 -3.754% -6.148% -4.614% -8.655% -10.52%
Spain IBEX35 2020-07-03 -3.548% -4.564% -4.727% -8.065% -7.026%
Hong Kong HSI 2020-07-03 -3.108% -4.148% -3.257% -7.758% -8.681%
Iceland ICEX 2020-07-03 -5.613% -5.686% -4.885% -8.756% -22.74%
Brazil BOVESPA 2020-07-03 -3.750% -4.476% -3.316% -5.433% -13.57%
India SENSEX 2020-07-03 -3.866% -6.008% -4.878% -11.13% -11.72%
Amazon 2020-07-03 -5.699% -5.377% -5.882% -12.62% -9.977%

Expected worst drop in 25 years

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2020-07-03 -15.53% -6.741% -10.30% -59.32% -38.09%
GBP/EUR 2020-07-03 -1.762% -1.721% -1.818% -3.992% -4.997%
USD/EUR 2020-07-03 -1.602% -1.900% -1.850% -2.763% -3.880%
JPY/EUR 2020-07-03 -1.772% -2.107% -1.954% -2.853% -2.894%
CHF/EUR 2020-07-03 -0.979% -1.260% -1.024% -2.445% -2.667%
STOXX50E 2020-07-03 -4.277% -6.779% -4.571% -13.09% -23.99%
FTSE 2020-07-03 -3.814% -5.887% -4.455% -10.88% -18.22%
SP-500 2020-07-03 -4.546% -6.172% -5.887% -20.23% -21.71%
Nikkei 225 2020-07-03 -4.256% -5.877% -5.079% -17.15% -15.73%
Shanghai Composite 2020-07-03 -3.744% -2.521% -2.753% -9.771% -14.93%
Australia ASX 200 2020-07-03 -4.182% -5.851% -5.453% -12.75% -42.61%
Singapore STI 2020-07-03 -64.90% -4.747% -45.79% -9.846% -64.87%
Taiwan TWSE 2020-07-03 -3.349% -3.316% -2.902% -7.076% -17.63%
Germany DAX 2020-07-03 -4.199% -6.415% -4.265% -12.27% -18.80%
France CAC40 2020-07-03 -4.280% -7.011% -5.261% -11.72% -21.41%
Spain IBEX35 2020-07-03 -4.046% -5.204% -5.390% -10.90% -11.43%
Hong Kong HSI 2020-07-03 -3.544% -4.730% -3.713% -11.14% -17.80%
Iceland ICEX 2020-07-03 -6.400% -6.484% -5.570% -12.01% -59.23%
Brazil BOVESPA 2020-07-03 -4.276% -5.104% -3.781% -7.217% -33.21%
India SENSEX 2020-07-03 -4.408% -6.851% -5.562% -16.29% -24.60%
Amazon 2020-07-03 -6.499% -6.131% -6.707% -18.21% -14.88%

© All rights reserved, Jon Danielsson, 2020