Daily risk forecast for Friday, February 23 (euro) and Wednesday, February 21 (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 13.47 6.06 13.34 11.07 8.84 2.22
DKK 0.54 0.42 0.35 0.42 0.79 0.48 2.25
GBP 14.00 13.24 11.78 12.76 17.78 13.99 1.51
JPY 15.34 14.17 10.84 11.63 17.99 16.13 1.66
RUB 35.65 34.04 10.36 13.61 19.23 37.30 3.60
SP-500 23.99 18.24 33.27 28.21 59.21 23.31 3.25
USD 15.01 12.81 11.52 11.74 19.85 14.89 1.72

ES

HS MA EWMA GARCH tGARCH EVT Model Risk
CHF 25.59 15.43 6.95 15.29 16.01 16.45 3.68
DKK 0.73 0.49 0.40 0.48 1.10 0.89 2.74
GBP 17.59 15.17 13.50 14.62 23.26 18.06 1.72
JPY 24.03 16.23 12.42 13.33 24.24 23.98 1.95
RUB 58.41 39.00 11.87 15.60 25.04 57.70 4.92
SP-500 31.94 20.89 38.11 32.32 81.76 34.34 3.91
USD 21.10 14.68 13.20 13.45 27.26 22.76 2.07

-5%

MA EWMA GARCH tGARCH EVT
CHF 1e+15 1e+79 3e+15 64 17
DKK 4e+06 9,330
GBP 5e+15 1e+20 1e+17 44 114
JPY 4e+13 1e+24 5e+20 26 13
RUB 13 3e+26 6e+14 32 0.9
SP-500 4e+07 17 214 0.2 4.3
USD 7e+16 1e+21 2e+20 13 13

-15%

MA EWMA GARCH tGARCH EVT
CHF 2e+145 8e+147 3,060 182
DKK 3e+08 1e+05
GBP 2e+150 1e+190 7e+161 13,600 14,900
JPY 1e+131 3e+224 7e+194 3,600 364
RUB 7e+21 9e+245 1e+142 11,200 20
SP-500 6e+78 8e+22 2e+32 13 132
USD 4e+160 5e+198 2e+191 1,270 318