Daily risk forecast for Tuesday, March 28 (euro) and Monday, March 27 (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 7.93 13.33 4.38 13.17 7.98 8.54 3.04
DKK 0.54 0.41 0.30 0.46 0.83 0.48 2.79
GBP 13.06 12.85 10.15 10.64 14.94 13.44 1.47
JPY 16.57 14.94 12.36 13.49 22.83 17.69 1.85
RUB 35.65 33.70 17.68 19.56 27.07 37.30 2.11
SP-500 23.23 18.71 11.08 14.95 19.61 22.72 2.10
USD 15.14 12.68 9.38 11.83 20.74 15.03 2.21

ES

HS MA EWMA GARCH tGARCH EVT Model Risk
CHF 24.71 15.27 5.01 15.09 11.01 14.05 4.93
DKK 0.73 0.47 0.34 0.52 1.16 0.89 3.40
GBP 17.46 14.73 11.62 12.19 19.74 18.12 1.70
JPY 25.95 17.12 14.17 15.46 31.51 25.05 2.22
RUB 58.41 38.61 20.26 22.41 35.45 57.70 2.88
SP-500 28.78 21.44 12.70 17.13 25.01 30.87 2.43
USD 21.15 14.52 10.75 13.56 30.94 23.13 2.88

-5%

MA EWMA GARCH tGARCH EVT
CHF 3e+15 6e+152 8e+15 515 36
DKK 4e+06 9,250
GBP 6e+16 4e+27 1e+25 86 65
JPY 1e+12 2e+18 1e+15 7.2 14
RUB 14 2e+08 3e+06 5.6 0.9
SP-500 2e+07 9e+22 1e+12 46 7.9
USD 2e+17 3e+32 9e+19 5.8 12

-15%

MA EWMA GARCH tGARCH EVT
CHF 2e+148 8e+151 48,600 595
DKK 3e+08 99,700
GBP 3e+159 2e+256 1e+233 20,400 4,550
JPY 6e+117 3e+172 4e+144 617 580
RUB 2e+22 7e+83 2e+68 1,420 20
SP-500 6e+74 6e+214 4e+117 34,900 509
USD 1e+164 1e+300 2e+188 201 285