Daily risk forecast for Friday, June 23 (euro) and Friday, June 16 (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 7.25 13.20 4.40 13.05 4.70 8.21 3.00
DKK 0.54 0.42 0.32 0.38 0.78 0.48 2.45
GBP 13.06 12.93 11.34 11.72 16.64 13.45 1.47
JPY 15.95 14.53 13.08 13.43 21.47 16.40 1.64
RUB 35.65 33.85 18.65 22.68 29.89 37.30 2.00
SP-500 21.84 18.17 9.58 11.93 15.71 22.13 2.31
USD 15.01 12.54 7.39 9.58 15.80 14.80 2.14

ES

HS MA EWMA GARCH tGARCH EVT Model Risk
CHF 24.53 15.12 5.04 14.95 6.47 14.31 4.87
DKK 0.73 0.48 0.37 0.44 1.09 0.89 2.98
GBP 17.46 14.82 12.99 13.43 21.66 18.08 1.67
JPY 24.38 16.64 14.98 15.39 29.33 24.69 1.96
RUB 58.41 38.78 21.37 25.99 38.97 57.70 2.73
SP-500 28.42 20.82 10.98 13.66 20.67 30.00 2.73
USD 21.10 14.37 8.46 10.97 22.33 22.85 2.70

-5%

MA EWMA GARCH tGARCH EVT
CHF 6e+15 2e+151 2e+16 4,780 28
DKK 4e+06 9,330
GBP 3e+16 7e+21 2e+20 70 67
JPY 7e+12 1e+16 2e+15 10 11
RUB 14 2e+07 27,300 3.6 0.9
SP-500 5e+07 1e+31 4e+19 73 8.9
USD 5e+17 1e+53 1e+31 23 13

-15%

MA EWMA GARCH tGARCH EVT
CHF 1e+151 6e+154 5e+05 365
DKK 4e+08 1e+05
GBP 3e+157 1e+205 9e+191 25,200 4,920
JPY 5e+124 1e+154 1e+146 1,050 293
RUB 1e+22 2e+75 4e+50 996 20
SP-500 2e+79 3e+287 2e+185 19,100 587
USD 4e+167 8e+287 1,470 285