Daily risk forecast

One day ahead risk forecasts for a range of assets and models. The forecasts are updated daily as the closing prices become available. VaR and ES of a portfolio worth 1000 in the native currency.

The models are estimated with code from Financial Risk Forecasting. The two risk measures that are estimated are Value-at-Risk (VaR) and expected shortfall (ES), both at the 99% probability, described here, while the statistical models used in the forecasting can be seen here.

There are several tables, first two showing VaR and ES, along with model risk calculated by the risk ratio method. The last show the implied probability of a 5% and 20% drop and the expected worst drop in 5 and 25 years. We cannot calculate the probability for HS and it is not relevant to calculate model risk in this case.

VaR

Forecast date HS MA EWMA GARCH tGARCH EVT Model risk
Bitcoin 2020-03-31 129.19 109.10 218.70 153.03 573.71 129.48 5.26
GBP/EUR 2020-03-31 13.61 12.56 23.54 24.92 31.76 13.66 2.53
USD/EUR 2020-03-31 11.59 10.45 18.39 16.51 22.12 11.23 2.12
JPY/EUR 2020-03-31 14.28 12.82 17.42 16.16 19.73 14.50 1.54
CHF/EUR 2020-03-31 6.684 6.328 6.393 6.546 8.973 7.024 1.42
STOXX50E 2020-03-31 34.63 26.74 101.36 93.78 143.02 34.75 5.35
FTSE 2020-03-31 32.84 23.20 92.39 89.80 121.28 31.25 5.23
SP-500 2020-03-31 36.58 27.27 123.67 121.17 249.66 38.55 9.15
Nikkei 225 2020-03-31 37.94 27.89 81.33 96.40 153.01 38.06 5.49

ES

Forecast date HS MA EWMA GARCH tGARCH EVT Model risk
Bitcoin 2020-03-31 192.97 124.99 250.56 175.33 931.77 184.46 7.45
GBP/EUR 2020-03-31 17.70 14.39 26.97 28.55 43.07 17.70 2.99
USD/EUR 2020-03-31 15.73 11.97 21.06 18.92 28.02 17.61 2.34
JPY/EUR 2020-03-31 21.12 14.69 19.95 18.51 25.03 19.57 1.70
CHF/EUR 2020-03-31 9.677 7.249 7.324 7.500 11.55 9.729 1.59
STOXX50E 2020-03-31 61.90 30.64 116.13 107.44 195.98 70.92 6.40
FTSE 2020-03-31 50.92 26.58 105.85 102.88 155.99 57.97 5.87
SP-500 2020-03-31 61.61 31.25 141.68 138.82 357.38 61.65 11.44
Nikkei 225 2020-03-31 51.58 31.96 93.17 110.44 214.18 55.84 6.70

Probability (in years) of a 5% drop

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2020-03-31 0.0279 0.0134 0.0179 0.0115 0.0164
GBP/EUR 2020-03-31 3.9e+17 1e+04 2628.55 2.187 118.07
USD/EUR 2020-03-31 9e+25 3.2e+07 4.3e+09 26.41 24.76
JPY/EUR 2020-03-31 6.8e+16 3.3e+08 1.3e+10 49.93 47.63
CHF/EUR 2020-03-31 4.4e+72 1.4e+71 6.4e+67 3055.10 465.43
STOXX50E 2020-03-31 586.96 0.0319 0.0372 0.0296 0.817
FTSE 2020-03-31 1.5e+04 0.0385 0.0410 0.0332 1.109
SP-500 2020-03-31 399.52 0.0231 0.0237 0.0168 0.801
Nikkei 225 2020-03-31 262.93 0.0524 0.0352 0.0281 0.942

Probability (in years) of a 20% drop

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2020-03-31 399.36 0.240 3.385 0.0417 1.720
GBP/EUR 2020-03-31 2.8e+297 1.3e+84 9.5e+74 827.93 5.1e+04
USD/EUR 2020-03-31 Inf 2.9e+138 7.8e+171 1.8e+05 1140.92
JPY/EUR 2020-03-31 2.9e+285 2.5e+154 3.4e+179 3.2e+05 1e+04
CHF/EUR 2020-03-31 Inf Inf Inf 1e+07 6.8e+04
STOXX50E 2020-03-31 9.5e+64 1806.29 1.1e+04 1.327 12.37
FTSE 2020-03-31 4.3e+86 1.7e+04 3.6e+04 3.821 22.43
SP-500 2020-03-31 2.6e+62 47.52 64.96 0.207 32.37
Nikkei 225 2020-03-31 4.4e+59 7.6e+05 5758.32 0.983 73.37

Expected worst drop in 5 years

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2020-03-31 -14.80% -29.67% -20.76% -100.00% -27.49%
GBP/EUR 2020-03-31 -1.704% -3.194% -3.380% -6.131% -2.430%
USD/EUR 2020-03-31 -1.418% -2.494% -2.240% -3.729% -2.802%
JPY/EUR 2020-03-31 -1.739% -2.363% -2.192% -3.338% -2.789%
CHF/EUR 2020-03-31 -0.858% -0.867% -0.888% -1.564% -1.418%
STOXX50E 2020-03-31 -3.628% -13.75% -12.72% -28.16% -12.60%
FTSE 2020-03-31 -3.147% -12.53% -12.18% -21.10% -10.01%
SP-500 2020-03-31 -3.700% -16.78% -16.44% -53.27% -9.932%
Nikkei 225 2020-03-31 -3.784% -11.03% -13.08% -31.35% -8.505%

Expected worst drop in 25 years

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2020-03-31 -16.88% -33.83% -23.67% -100.00% -44.41%
GBP/EUR 2020-03-31 -1.943% -3.642% -3.855% -8.980% -3.509%
USD/EUR 2020-03-31 -1.616% -2.844% -2.554% -4.953% -5.017%
JPY/EUR 2020-03-31 -1.983% -2.694% -2.499% -4.446% -4.231%
CHF/EUR 2020-03-31 -0.979% -0.989% -1.013% -2.128% -2.218%
STOXX50E 2020-03-31 -4.137% -15.68% -14.51% -41.83% -28.63%
FTSE 2020-03-31 -3.589% -14.29% -13.89% -28.68% -21.02%
SP-500 2020-03-31 -4.219% -19.13% -18.74% -83.79% -18.15%
Nikkei 225 2020-03-31 -4.315% -12.58% -14.91% -47.90% -14.20%

© All rights reserved, Jon Danielsson, 2019