Daily risk forecast for Tuesday, May 30 (euro) and Monday, May 15 (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 13.22 6.33 13.08 8.02 8.21 2.09
DKK 0.54 0.42 0.36 0.40 0.84 0.48 2.34
GBP 13.06 12.94 11.07 11.61 14.23 13.45 1.28
JPY 15.95 14.57 16.20 16.12 23.52 16.40 1.61
RUB 35.65 33.81 21.07 23.72 32.84 37.30 1.77
SP-500 23.10 18.47 8.52 11.49 14.28 22.45 2.71
USD 15.01 12.64 9.77 10.98 18.83 14.80 1.93

ES

HS MA EWMA GARCH tGARCH EVT Model Risk
CHF 24.53 15.14 7.25 14.99 11.05 14.31 3.38
DKK 0.73 0.48 0.41 0.46 1.17 0.89 2.85
GBP 17.46 14.82 12.69 13.30 17.83 18.08 1.43
JPY 24.38 16.69 18.55 18.47 32.11 24.69 1.92
RUB 58.41 38.74 24.14 27.17 42.65 57.70 2.42
SP-500 28.77 21.16 9.76 13.17 18.37 30.65 3.14
USD 21.10 14.48 11.19 12.58 26.97 22.85 2.41

-5%

MA EWMA GARCH tGARCH EVT
CHF 6e+15 5e+72 1e+16 520 28
DKK 3e+06 9,330
GBP 3e+16 1e+23 6e+20 615 67
JPY 6e+12 1e+10 1e+10 7.0 11
RUB 14 2e+05 8,540 2.4 0.9
SP-500 3e+07 4e+39 2e+21 220 8.0
USD 2e+17 8e+29 2e+23 11 13

-15%

MA EWMA GARCH tGARCH EVT
CHF 6e+150 9e+153 50,100 365
DKK 3e+08 1e+05
GBP 3e+157 1e+215 4e+195 1e+06 4,920
JPY 9e+123 1e+100 1e+101 723 293
RUB 1e+22 6e+58 2e+46 698 20
SP-500 7e+76 5e+199 1e+05 486
USD 1e+165 6e+276 7e+218 564 285