Daily risk forecast for Tuesday, November 21 (euro) and Friday, November 17 (SP-500)

The Daily Risk page shows one day risk forecasts for a range of assets and models. The forecasts are updated daily as the closing prices become available.

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.

The assets are a number of euro exchange rates as well as the SP-500 index. Therefore, the risk is of the euro falling.


VaR

HS MA EWMA GARCH tGARCH EVT Model Risk
CHF 8.58 13.41 6.14 13.28 9.17 8.84 2.18
DKK 0.54 0.42 0.23 0.28 0.54 0.48 2.33
GBP 13.61 13.14 13.09 13.41 18.59 13.75 1.42
JPY 15.95 14.35 9.07 10.47 17.15 16.40 1.89
RUB 35.65 34.12 17.38 23.38 30.04 37.30 2.15
SP-500 21.84 17.84 6.99 11.89 16.42 22.13 3.16
USD 15.01 12.74 10.75 11.35 18.60 14.89 1.73

ES

HS MA EWMA GARCH tGARCH EVT Model Risk
CHF 25.59 15.36 7.03 15.21 12.66 16.45 3.64
DKK 0.73 0.48 0.26 0.32 0.75 0.89 3.39
GBP 17.55 15.06 15.00 15.36 24.28 17.98 1.62
JPY 24.38 16.44 10.39 11.99 23.47 24.69 2.38
RUB 58.41 39.10 19.91 26.79 38.94 57.70 2.93
SP-500 28.42 20.44 8.01 13.62 22.14 30.00 3.75
USD 21.10 14.60 12.31 13.00 25.91 22.76 2.10

-5%

MA EWMA GARCH tGARCH EVT
CHF 2e+15 2e+77 4e+15 290 17
DKK 2e+07 9,330
GBP 9e+15 1e+16 2e+15 37 97
JPY 2e+13 7e+34 7e+25 25 11
RUB 12 4e+08 12,200 3.7 0.9
SP-500 1e+08 2e+59 6e+19 38 8.9
USD 1e+17 3e+24 7e+21 15 13

-15%

MA EWMA GARCH tGARCH EVT
CHF 3e+146 3e+149 27,300 182
DKK 2e+09 1e+05
GBP 3e+152 4e+153 3e+146 11,800 10,300
JPY 7e+127 6e+240 2,640 293
RUB 5e+21 7e+86 3e+47 1,220 20
SP-500 2e+82 3e+186 5,300 587
USD 2e+162 3e+228 8e+204 1,130 318