Daily risk forecast for Monday, January 22 (euro) and Thursday, January 18 (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 13.44 5.51 13.31 8.44 8.84 2.44
DKK 0.54 0.42 0.28 0.37 0.71 0.48 2.59
GBP 14.00 13.15 8.54 9.30 12.87 13.89 1.64
JPY 15.95 14.24 10.92 11.93 17.65 16.40 1.62
RUB 35.65 34.09 11.21 14.35 19.55 37.30 3.33
SP-500 21.84 17.69 10.54 13.64 19.80 21.98 2.09
USD 15.01 12.80 11.50 11.55 19.15 14.89 1.67

ES

HS MA EWMA GARCH tGARCH EVT Model Risk
CHF 25.59 15.40 6.31 15.25 11.63 16.45 4.06
DKK 0.73 0.48 0.32 0.42 1.00 0.89 3.15
GBP 17.59 15.06 9.78 10.65 16.49 18.08 1.85
JPY 24.38 16.31 12.51 13.66 23.79 24.69 1.97
RUB 58.41 39.05 12.84 16.44 25.14 57.70 4.55
SP-500 28.42 20.27 12.07 15.62 26.36 29.75 2.46
USD 21.10 14.66 13.17 13.23 26.64 22.76 2.02

-5%

MA EWMA GARCH tGARCH EVT
CHF 2e+15 2e+96 3e+15 425 17
DKK 6e+06 9,330
GBP 9e+15 3e+39 1e+33 460 100
JPY 3e+13 5e+23 4e+19 28 11
RUB 12 3e+22 2e+13 39 0.9
SP-500 2e+08 3e+25 5e+14 20 9
USD 8e+16 2e+21 1e+21 13 13

-15%

MA EWMA GARCH tGARCH EVT
CHF 7e+145 6e+148 41,300 182
DKK 5e+08 1e+05
GBP 2e+152 3e+05 11,400
JPY 7e+129 3e+221 2e+185 3,890 293
RUB 6e+21 8e+209 7e+127 21,000 20
SP-500 6e+83 4e+237 4e+141 3,600 628
USD 7e+160 3e+199 6e+197 1,040 318